Strong Solutions to Reflecting Stochastic Differential Equations with Singular Drift
Probability
2020-02-28 v1
Abstract
In this paper, we prove that there exists a unique strong solution to reflecting stochastic differential equations with merely measurable drift giving an affirmative answer to the longstanding problem. This is done through Zvonkin transformation and a careful analysis of the transformed reflecting stochastic differential equations on non-smooth time-dependent domains.
Keywords
Cite
@article{arxiv.2002.12150,
title = {Strong Solutions to Reflecting Stochastic Differential Equations with Singular Drift},
author = {Saisai Yang and Tusheng Zhang},
journal= {arXiv preprint arXiv:2002.12150},
year = {2020}
}