Multidimensional SDE with anticipating initial process and reflection
Probability
2007-05-23 v1
Abstract
In this paper, the strong solutions of multidimensional stochastic differential equations with reflecting boundary and possible anticipating initial random variables is 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 .
Keywords
Cite
@article{arxiv.0704.2715,
title = {Multidimensional SDE with anticipating initial process and reflection},
author = {Zongxia Liang},
journal= {arXiv preprint arXiv:0704.2715},
year = {2007}
}