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

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.

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Year of publication:	1997
Authors:	Rozkosz, Andrzej ; Slominski, Leszek
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 68.1997, 2, p. 285-302
Publisher:	Elsevier
Keywords:	Stochastic differential equation Reflecting boundary condition

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874875