On the strong solutions of one-dimensional stochastic differential equations with reflecting boundary

1994/03/01 by Tusheng Zhang, Tu-Sheng Zhang · 7 citations
Economics, Econometrics and Finance · Social Sciences · Mathematics · #Stochastic processes and financial applications #Insurance, Mortality, Demography, Risk Management #Differential Equations and Numerical Methods

paper · doi:10.1016/0304-4149(94)90152-x

Cited by

• A Note on the Malliavin Differentiability of One-Dimensional Reflected Stochastic Differential Equations with Discontinuous Drift
• Wong--Zakai approximations with convergence rate for stochastic differential equations with regime switching
• Stationary Distribution Convergence of the Offered Waiting Processes for GI/GI/1+GI Queues in Heavy Traffic
• On the Taylor Expansion of Value Functions
• Pathwise uniqueness and non-explosion property of Skorohod SDEs with a class of non-Lipschitz coefficients and non-smooth domains
• Strong Solutions to Reflecting Stochastic Differential Equations with Singular Drift
• The heavy traffic limit of an unbalanced generalized processor sharing model