Euler's approximations of solutions of SDEs with reflecting boundary.
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Publication:1888782
DOI10.1016/S0304-4149(01)00087-4zbMath1053.60062OpenAlexW2061805209WikidataQ126863999 ScholiaQ126863999MaRDI QIDQ1888782
Publication date: 26 November 2004
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4149(01)00087-4
stochastic differential equationSkorokhod problemprojection schemereflecting boundary conditionpenalization scheme
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites Work
- Stochastic differential equations for multi-dimensional domain with reflecting boundary
- Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
- Stability of strong solutions of stochastic differential equations
- Stochastic differential equations with reflecting boundary condition in convex regions
- Weak limit theorems for stochastic integrals and stochastic differential equations
- Stopping times and tightness
- On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
- Penalization schemes for reflecting stochastic differential equations
- Approximations for stochastic differential equations with reflecting convex boundaries
- Existence of strong solutions for Itô's stochastic equations via approximations
- SDEs with oblique reflection on nonsmooth domains
- Stochastic differential equations with reflecting boundary conditions
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- Stochastic differential equations with a convex constraint
- On lipschitz continuity of the solution mapping to the skorokhod problem, with applications
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