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On reflected Stratonovich stochastic differential equations

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  • Słomiński, Leszek

Abstract

We study the problem of existence, uniqueness and approximation of solutions of finite dimensional Stratonovich stochastic differential equations with reflecting boundary condition driven by semimartingales with jumps. As an application we generalize known results on the Wong–Zakai type approximations.

Suggested Citation

  • Słomiński, Leszek, 2015. "On reflected Stratonovich stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 125(2), pages 759-779.
    • Handle: RePEc:eee:spapps:v:125:y:2015:i:2:p:759-779
    DOI: 10.1016/j.spa.2014.10.003
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    References listed on IDEAS

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    1. Zhang, Tu-Sheng, 1994. "On the strong solutions of one-dimensional stochastic differential equations with reflecting boundary," Stochastic Processes and their Applications, Elsevier, vol. 50(1), pages 135-147, March.
    2. Evans, Lawrence Christopher & Stroock, Daniel W., 2011. "An approximation scheme for reflected stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1464-1491, July.
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