On stability and existence of solutions of SDEs with reflection at the boundary

被引：36
作者：
Rozkosz, A
Slominski, L
机构：
[1] Fac. of Mathematics and Informatics, Nicholas Copernicus University, 87-100 Toruń
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1997年 / 68卷 / 02期
关键词：
stochastic differential equation; reflecting boundary condition;
D O I：
10.1016/S0304-4149(97)00025-2
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We study stability with respect to perturbation of coefficients and existence of weak solutions of stochastic differential equations with reflecting boundary conditions. We assume that the domain is a convex subset of R-d Or satisfies quite general conditions introduced by Lions and Sznitman. The coefficients are merely measurable functions and the diffusion coefficients may degenerate on some subsets of the domain.
引用
收藏
页码：285 / 302
页数：18
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