Pathwise Uniqueness and Non-explosion Property of Skorohod SDEs with a Class of Non-Lipschitz Coefficients and Non-smooth Domains

被引：4

作者：

Hino, Masanori ^{[1
]}

Matsuura, Kouhei ^{[2
]}

Yonezawa, Misaki ^{[3
]}

机构：

[1] Kyoto Univ, Dept Math, Kyoto 6068502, Japan

[2] Univ Tsukuba, Inst Math, 1-1-1 Tennodai, Tsukuba, Ibaraki 3058571, Japan

[3] Daiwa Secur Co Ltd, Chiyoda Ku, Tokyo 1006752, Japan

来源：

JOURNAL OF THEORETICAL PROBABILITY | 2021年 / 34卷 / 04期

关键词：

Skorohod SDE; Non-Lipschitz coefficient; Pathwise uniqueness; Non-explosion property; STOCHASTIC DIFFERENTIAL-EQUATIONS;

D O I：

10.1007/s10959-020-01036-7

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：

Here, we study stochastic differential equations with a reflecting boundary condition. We provide sufficient conditions for pathwise uniqueness and non-explosion property of solutions in a framework admitting non-Lipschitz continuous coefficients and non-smooth domains.

引用

收藏

页码：2166 / 2191

页数：26

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