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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