Journal of the Indonesian Mathematical Society
Volume 14 Number 2 (October 2008)

A NOTE ON THE EXISTENCE AND UNIQUENESS OF A BOUNDED MEAN-REVERTING PROCESS

D. Lesmono (Department of Mathematics, Universitas Katolik Parahyangan, Bandung 40141, Indonesia.)
P.K. Pollet (Department of Mathematics, The University of Queensland, Brisbane, Australia.)
E.J. Tonkes (Energy Edge Pty, Ltd., Brisbane, Australia.)
K. Burrage (Institute for Molecular Bioscience, The University of Queensland, Brisbane, Australia.)

Article Info

Publish Date
02 Jun 2012

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

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Journal Info
Journal of the Indonesian Mathematical Society
Website

Abbrev

JIMS

Publisher

Indonesian Mathematical Society

Subject

Mathematics

Description

Journal of the Indonesian Mathematical Society disseminates new research results in all areas of mathematics and their applications. Besides research articles, the journal also receives survey papers that stimulate research in mathematics and their ...