Penalization schemes for multi-valued stochastic differential equations (Q1950653)
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scientific article; zbMATH DE number 6162697
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Penalization schemes for multi-valued stochastic differential equations |
scientific article; zbMATH DE number 6162697 |
Statements
Penalization schemes for multi-valued stochastic differential equations (English)
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13 May 2013
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The rate of the strong mean square convergence of the penalization scheme for the multi-valued stochastic differential equations driven by a standard, \(d\)-dimensional Brownian motion is established.
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penalization scheme
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Skorohod problem
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multi-valued stochastic differential equation
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convergence rate
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