Anticipating Reflected Stochastic Differential Equations

Zongxia Liang; Tusheng Zhang

Anticipating Reflected Stochastic Differential Equations

Probability 2007-05-23 v1

Authors: Zongxia Liang , Tusheng Zhang

Abstract

In this paper, we establish the existence of the solutions $(X, L)$ of reflected stochastic differential equations with possible anticipating initial random variables. The key is to obtain some substitution formula for Stratonovich integrals via a uniform convergence of the corresponding Riemann sums.

Keywords

reflected backward stochastic differential equations stochastic integrals stochastic differential equations

Cite

@article{arxiv.math/0612294,
  title  = {Anticipating Reflected Stochastic Differential Equations},
  author = {Zongxia Liang and Tusheng Zhang},
  journal= {arXiv preprint arXiv:math/0612294},
  year   = {2007}
}

Comments

18 pages

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