Multidimensional SDE with anticipating initial process and reflection

Abstract

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 $(X,L)$.

25pages

Cited by in corpus (1)

• Large deviations for multidimensional SDEs with reflection