Strong comparison result for a class of reflected stochastic differential equations with non-Lipschitzian coefficients |
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| Authors: | Lijun Bo Ruiming Yao |
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| Affiliation: | (1) Department of Mathematics, Xidian University, Xi’an, 710071, China;(2) School of Mathematical Sciences, Nankai University, Tianjin, 300071, China |
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| Abstract: | In this paper, we are concerned with a class of reflected stochastic differential equations (reflected SDEs) with non-Lipschitzian coefficients. Under the same coefficients 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 one-dimensional case. |
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| Keywords: | reflected stochastic differential equations (reflected SDEs) non-Lipschitzian coefficients strong comparison theorem |
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