Abstract
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.
Citation
M. Chaleyat-Maurel. N. El Karoui. B. Marchal. "Reflexion Discontinue et Systemes Stochastiques." Ann. Probab. 8 (6) 1049 - 1067, December, 1980. https://doi.org/10.1214/aop/1176994567
Information