Limit theorems and the support of SDES with oblique reflections on nonsmooth domains

DOI10.1016/j.jmaa.2018.06.004zbMath1390.60223OpenAlexW2807491789MaRDI QIDQ1645144

Y. Aharonov

Publication date: 28 June 2018

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2018.06.004

zbMATH Keywords

stochastic differential equationssupportoblique reflectionWong-Zakai approximationapproximate continuity

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (7)

Wong-Zakai approximations for stochastic differential equations with path-dependent coefficients ⋮ A support theorem for stochastic differential equations driven by a fractional Brownian motion ⋮ On approximations for reflected SDEs and SPDEs with Neumann boundary conditions ⋮ Multi-dimensional path-dependent forward-backward stochastic variational inequalities ⋮ Stability and invariant measure asymptotics in a model for heavy particles in rough turbulent flows ⋮ Well-Posedness and Stability Analysis of Two Classes of Generalized Stochastic Volatility Models ⋮ Wong-Zakai approximations and support theorems for stochastic McKean-Vlasov equations

Cites Work

• An approximation scheme for reflected stochastic differential equations
• Support theorem for stochastic variational inequalities
• On approximate continuity and the support of reflected stochastic differential equations
• SDEs with oblique reflections on nonsmooth domains
• Existence of strong solutions for Itô's stochastic equations via approximations
• SDEs with oblique reflection on nonsmooth domains
• On the relation between ordinary and stochastic differential equations
• Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces
• [https://portal.mardi4nfdi.de/wiki/Publication:3965365 Support d'un processus de r�flexion]
• On oblique derivative problems for fully nonlinear second-order elliptic partial differential equations on nonsmooth domains
• Wong-zaksi approximations for reflecting stochastic differential equations

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