Strong Solutions to Reflecting Stochastic Differential Equations with Singular Drift

Saisai Yang, Tusheng Zhang

Published 2020-02-27Version 1

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.