Some Results on Stochastic Differential Equations with Reflecting Boundary Conditions

P. Marín-Rubio () and J. Real ()
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P. Marín-Rubio: Universidad de Sevilla
J. Real: Universidad de Sevilla

Journal of Theoretical Probability, 2004, vol. 17, issue 3, 705-716

Abstract: Abstract Some results related to stochastic differential equations with reflecting boundary conditions (SDER) are obtained. Existence and uniqueness of strong solution is ensured under the relaxation on the drift coefficient (instead of the Lipschitz character, a monotonicity condition is supposed).

Keywords: Skorokhod problem; reflected stochastic differential equations; monotonicity condition; strong solution (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (2)

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DOI: 10.1023/B:JOTP.0000040295.09922.85

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