On the strong solutions of one-dimensional stochastic differential equations with reflecting boundary

In this paper, we directly prove the existence and uniqueness of a strong solution of the stochastic differential equations with reflecting boundary under the assumption of non-degenerate diffusion coefficient and measurable drift. Moreover, a Wong-Zakai type approximation theorem is obtained for the equations.

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Year of publication:	1994
Authors:	Zhang, Tu-Sheng
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 50.1994, 1, p. 135-147
Publisher:	Elsevier
Keywords:	local time comparison theorem Skorohod problem

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

Persistent link: https://www.econbiz.de/10008875560