Strong comparison result for a class of re-ected stochastic differential equations with non-Lipschitzian coeffcients

doi:10.1007/s11464-007-0005-6

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Front. Math. China ›› 2007, Vol. 2 ›› Issue (1) : 73-85. DOI: 10.1007/s11464-007-0005-6

Strong comparison result for a class of re-ected stochastic differential equations with non-Lipschitzian coeffcients

BO Lijun¹, YAO Ruiming²

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Abstract

In this paper, we are concerned with a class of reflected stochastic differential equations (reflected SDEs) with non-Lipschitzian coeffcients. Under the same coeffcients assumptions as Fang and Zhang [Probab. Theory Relat. Fields, 2005, 132(3): 356 390] for a class of SDEs, we establish the pathwise uniqueness for the reflected SDEs. Furthermore, a strong comparison theorem is proved for the reflected SDEs in a onedimensional case.

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BO Lijun, YAO Ruiming. Strong comparison result for a class of re-ected stochastic differential equations with non-Lipschitzian coeffcients. Front. Math. China, 2007, 2(1): 73‒85 https://doi.org/10.1007/s11464-007-0005-6