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Anticipating Reflected Stochastic Differential Equations

Zongxia Liang·Tusheng Zhang
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Abstract

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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Zongxia Liang, Tusheng Zhang. 2006-12-12. Anticipating Reflected Stochastic Differential Equations. https://arxiv.org/abs/math/0612294

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