Strong Solutions to Reflecting Stochastic Differential Equations with Singular Drift

preprint2020arXivOpen access

Abstract

In this paper, we prove that there exists a unique strong solution to reflecting stochastic differential equations with merely measurable drift giving an affirmative answer to the longstanding problem. This is done through Zvonkin transformation and a careful analysis of the transformed reflecting stochastic differential equations on non-smooth time-dependent domains.

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