Stochastic differential equations for multi-dimensional domain with reflecting boundary
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.
unique solution of the Skorohod equation
scientific article; zbMATH DE number 3949414
scientific article