Stochastic differential equations for multi-dimensional domain with reflecting boundary (Q1074953)
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scientific article; zbMATH DE number 3949414
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic differential equations for multi-dimensional domain with reflecting boundary |
scientific article; zbMATH DE number 3949414 |
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Stochastic differential equations for multi-dimensional domain with reflecting boundary (English)
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1987
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We prove that there exists a unique solution of the Skorohod equation for a domain in \(R^ d\) with reflecting boundary condition. We remove the admissibility condition of the domain which is assumed in the work of \textit{P. L. Lions} and \textit{A. S. Sznitman}, Stochastic differential equations with reflecting boundary conditions. Commun. Pure Appl. Math. 37, 511-537 (1984). We first consider a deterministic case and then discuss a stochastic case.
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unique solution of the Skorohod equation
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reflecting boundary condition
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