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Some Results on Stochastic Differential Equations with Reflecting Boundary Conditions

Author

Listed:
  • P. Marín-Rubio

    (Universidad de Sevilla)

  • J. Real

    (Universidad de Sevilla)

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).

Suggested Citation

  • P. Marín-Rubio & J. Real, 2004. "Some Results on Stochastic Differential Equations with Reflecting Boundary Conditions," Journal of Theoretical Probability, Springer, vol. 17(3), pages 705-716, July.
    • Handle: RePEc:spr:jotpro:v:17:y:2004:i:3:d:10.1023_b:jotp.0000040295.09922.85
    DOI: 10.1023/B:JOTP.0000040295.09922.85
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    References listed on IDEAS

    as
    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. Matoussi, Anis, 1997. "Reflected solutions of backward stochastic differential equations with continuous coefficient," Statistics & Probability Letters, Elsevier, vol. 34(4), pages 347-354, June.
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    Cited by:

    1. Yang, Saisai & Zhang, Tusheng, 2023. "Strong solutions to reflecting stochastic differential equations with singular drift," Stochastic Processes and their Applications, Elsevier, vol. 156(C), pages 126-155.

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