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

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  • 1.Department of Mathematics, Xidian University, Xi′an 710071, China; School of Mathematical Sciences, Nankai University, Tianjin 300071, China; 2.Department of Mathematics, Xidian University, Xi′an 710071, China

Published date: 05 Mar 2007

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.

Cite this article

BO Lijun, YAO Ruiming . Strong comparison result for a class of re-ected stochastic differential equations with non-Lipschitzian coeffcients[J]. Frontiers of Mathematics in China, 2007 , 2(1) : 73 -85 . DOI: 10.1007/s11464-007-0005-6

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