Document Type
Article
Abstract
A stochastic differential equation of Wiener-Poisson type is considered in a d-dimensional bounded region. By using a penalization argument on the domain, we are able to prove the existence and uniqueness of solutions in the strong sense. The main assumptions are Lipschitzian coefficients, either convex or smooth domains and a regular outward reflecting direction. As a direct consequence, it is verified that the reflected diffusion process with jumps depends on the initial date in a Lipschitz fashion.
Disciplines
Probability
Recommended Citation
Menaldi, J.-L. and Robin, M. (1985). On some optimal stopping problems with constraint, Ann. Probab. 13 319-341. doi: 10.1214/aop/1176992994
Comments
Copyright © 1985 Institute of Mathematical Statistics.