Projection scheme for stochastic differential equations with convex constraints.

DOI10.1016/S0304-4149(99)00121-0zbMath1045.60062MaRDI QIDQ1877506

Roger Pettersson

Publication date: 7 September 2004

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

variational inequalitiesnumerical methodsstochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60H99) Stochastic integral equations (60H20) (L^p)-limit theorems (60F25)

Related Items (8)

Error estimates of the backward Euler-Maruyama method for multi-valued stochastic differential equations ⋮ Strong convergence rate for multivalued stochastic differential equations via stochastic theta method ⋮ Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations ⋮ Multivalued monotone stochastic differential equations with jumps ⋮ Approximating and Simulating Multivalued Stochastic Differential Equations ⋮ Stochastic Theta Method for a Reflected Stochastic Differential Equation ⋮ On stochastic mirror descent with interacting particles: convergence properties and variance reduction ⋮ Semi-implicit Euler-Maruyama scheme for polynomial diffusions on the unit ball

Cites Work

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• Stochastic differential equations with reflecting boundary condition in convex regions
• On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
• Diffusing particles with electrostatic repulsion
• Approximations for stochastic differential equations with reflecting convex boundaries
• Stochastic variational inequalities in infinite dimensional spaces
• Stochastic differential equations with a convex constraint
• Stochastic Equations in Infinite Dimensions

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