Multidimensional SDE with anticipating initial process and reflection

Details Multidimensional SDE with anticipating initial process and reflection Multidimensional SDE with anticipating initial process and reflection

2007-04-20

arxiv.org/abs/0704.2715v1

Mathematics

Probability

25pages

Scientific paper

In this paper, the strong solutions $ (X, L)$ 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 $ (X, L)$.

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