Anticipating Reflected Stochastic Differential Equations

Zongxia Liang; Tusheng Zhang

Anticipating Reflected Stochastic Differential Equations

概率论 2007-05-23 v1

作者: Zongxia Liang , Tusheng Zhang

摘要

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.

关键词

reflected backward stochastic differential equations stochastic integrals stochastic differential equations

引用

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

备注

18 pages

相关论文

查看更多相关论文 →