We show the existence and uniqueness of the solution of stochastic equations of reflection on $\mathbb{R}^+_n$ associated to semimartingales with right continuous and left limited paths. This result is used to prove the existence and uniqueness of a Markov process associated with a boundary condition of Neumann type with degenerate infinitesimal generator.
Publié le : 1980-12-14
Classification:
Stochastic differential equations,
semimartingales,
reflection,
diffusion process,
local time,
60H20,
60G45,
60J55,
60J60
@article{1176994567,
author = {Chaleyat-Maurel, M. and Karoui, N. El and Marchal, B.},
title = {Reflexion Discontinue et Systemes Stochastiques},
journal = {Ann. Probab.},
volume = {8},
number = {6},
year = {1980},
pages = { 1049-1067},
language = {fr},
url = {http://dml.mathdoc.fr/item/1176994567}
}
Chaleyat-Maurel, M.; Karoui, N. El; Marchal, B. Reflexion Discontinue et Systemes Stochastiques. Ann. Probab., Tome 8 (1980) no. 6, pp. 1049-1067. http://gdmltest.u-ga.fr/item/1176994567/