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D. Lesmono
Department of Mathematics, Universitas Katolik Parahyangan, Bandung 40141, Indonesia.
Mathematics

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A NOTE ON THE EXISTENCE AND UNIQUENESS OF A BOUNDED MEAN-REVERTING PROCESS D. Lesmono; P.K. Pollet; E.J. Tonkes; K. Burrage
Journal of the Indonesian Mathematical Society Volume 14 Number 2 (October 2008)
Publisher : IndoMS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22342/jims.14.2.53.83-94

Abstract

We study a stochastic differential equation (SDE) describing a class of mean-reverting diffusions on a bounded interval. The drift coefficient is not continuous near theboundaries. Nor does it satisfy either of the usual Lipschitz or linear growth conditions.We characterize the boundary behaviour, identifying two possibilities: entrance boundaryand regular boundary. In the case of an entrance boundary we establish existence anduniqueness of the solution to the SDE.DOI : http://dx.doi.org/10.22342/jims.14.2.53.83-94
Co-Authors E.J. Tonkes K. Burrage P.K. Pollet