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

Author

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  • Masanori Hino

    (Kyoto University)

  • Kouhei Matsuura

    (University of Tsukuba)

  • Misaki Yonezawa

    (Daiwa Securities Co. Ltd.)

Abstract

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.

Suggested Citation

  • Masanori Hino & Kouhei Matsuura & Misaki Yonezawa, 2021. "Pathwise Uniqueness and Non-explosion Property of Skorohod SDEs with a Class of Non-Lipschitz Coefficients and Non-smooth Domains," Journal of Theoretical Probability, Springer, vol. 34(4), pages 2166-2191, December.
    • Handle: RePEc:spr:jotpro:v:34:y:2021:i:4:d:10.1007_s10959-020-01036-7
    DOI: 10.1007/s10959-020-01036-7
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    References listed on IDEAS

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    1. Rozkosz, Andrzej & Slominski, Leszek, 1997. "On stability and existence of solutions of SDEs with reflection at the boundary," Stochastic Processes and their Applications, Elsevier, vol. 68(2), pages 285-302, June.
    2. Zhang, Tu-Sheng, 1994. "On the strong solutions of one-dimensional stochastic differential equations with reflecting boundary," Stochastic Processes and their Applications, Elsevier, vol. 50(1), pages 135-147, March.
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    Cited by:

    1. Wang, Feng-Yu, 2023. "Exponential ergodicity for singular reflecting McKean–Vlasov SDEs," Stochastic Processes and their Applications, Elsevier, vol. 160(C), pages 265-293.

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