Existence and uniqueness of reflecting diffusions in cusps
Probability
2019-02-14 v1
Abstract
We consider stochastic differential equations with (oblique) reflection in a -dimensional domain that has a cusp at the origin, i..e. in a neighborhood of the origin has the form , with , . Given a vector field of directions of reflection at the boundary points other than the origin, defining directions of reflection at the origin , and assuming there exists a vector such that , , and , we prove weak existence and uniqueness of the solution starting at the origin and strong existence and uniqueness starting away from the origin. Our proof uses a new scaling result and a coupling argument.
Cite
@article{arxiv.1710.06281,
title = {Existence and uniqueness of reflecting diffusions in cusps},
author = {Cristina Costantini and Thomas G. Kurtz},
journal= {arXiv preprint arXiv:1710.06281},
year = {2019}
}