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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1981 Volume 26, Issue 4, Pages 685–701 (Mi tvp3500)

This article is cited in 12 papers

On the strong and weak solutions of one-dimensional stochastic equations with boundary conditions

A. Ju. Veretennikov

Moscow

Abstract: We investigate the sufficient conditions for the strong and weak uniqueness of the solution of a stochastic equation with a simultaneous reflection at zero:
\begin{gather*} dx_s=\sigma(s,x_s)\,dw_s+b(s,x_s)\,ds+d\varphi_s, \\ d\varphi_s=\chi_{x_s=0}\,d\varphi_s,\qquad x_s\ge 0, \end{gather*}
and for the existence of a strong solution of this equation.

Received: 16.05.1979


 English version:
Theory of Probability and its Applications, 1982, 26:4, 670–686

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