Anticipating Reflected Stochastic Differential Equations

Details Anticipating Reflected Stochastic Differential Equations Anticipating Reflected Stochastic Differential Equations

2006-12-12

arxiv.org/abs/math/0612294v1

Mathematics

Probability

18 pages

Scientific paper

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.

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