On stability and existence of solutions of SDEs with reflection at the boundary

Andrzej Rozkosz and Leszek Slominski

Stochastic Processes and their Applications, 1997, vol. 68, issue 2, 285-302

Abstract: We study stability with respect to perturbation of coefficients and existence of weak solutions of stochastic differential equations with reflecting boundary conditions. We assume that the domain is a convex subset of d or satisfies quite general conditions introduced by Lions and Sznitman. The coefficients are merely measurable functions and the diffusion coefficients may degenerate on some subsets of the domain.

Keywords: Stochastic; differential; equation; Reflecting; boundary; condition (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (5)

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