Journal of the Indonesian Mathematical Society has been acreditated by the General Directorate of Higher Education (DIKTI)
A NOTE ON THE EXISTENCE AND UNIQUENESS OF A BOUNDED MEAN-REVERTING PROCESS
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.
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Journal of the Indonesian Mathematical Society ( p-ISSN:2086-8952 | e-ISSN:2460-0245) published by the Indonesian Mathematical Society (IndoMS).
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