Anticipating multidimensional Stochastic differential equations with reflections

作者：Liang Zongxia^*

来源：Stochastics and Dynamics, 2008, 8(2): 295-318.

DOI：10.1142/S0219493708002329

• Stochastic differential equations with reflecting boundary
• anticipating Stratonovich integrals
• substitution formulas

In this paper, the strong solutions of multidimensional stochastic differential equations with reflecting boundary and with a non-adapted initial random variable are established. The key is to obtain some substitution formula for Stratonovich integrals via a uniform convergence of the corresponding Riemann sums and to prove continuity of functionals of the strong solutions. The results extend the work [8] of Lions and Sznitman with a non-adapted initial random variable.

• 出版日期2008-6
• 单位清华大学