Frontiers of Mathematics in China >

2007 , Vol. 2 >Issue 1: 73 - 85

DOI: https://doi.org/10.1007/s11464-007-0005-6

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

Expand
  • 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

Fold

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

Options
Outlines

/

〈 〉