We consider stochastic differential equations with (oblique) reflection in a 2-dimensional domain that has a cusp at the origin, i.e. in a neighborhood of the origin has the form \(x₁,x₂):0 0, $i=1,2$, and e*₁>0, we prove weak existence and uniqueness of the solution starting at the origin and strong existence and uniqueness starting away from the origin. Our proof uses a new scaling result and a coupling argument.
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Costantini et al. (2018) studied this question.