On the -distance between semimartingales reflecting in different domains>

DOI10.1080/17442500008834260zbMath0970.60073OpenAlexW1982076504MaRDI QIDQ2706907

Leszek Slominski

Publication date: 16 October 2001

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500008834260

zbMATH Keywords

stochastic differential equationSkorokhod problemprojection schemereflecting boundary conditiondiscrete penalization scheme

Mathematics Subject Classification ID

Stochastic analysis (60H99) Stochastic integral equations (60H20)

Related Items (2)

Remarks on the Skorohod problem and reflected Lévy driven SDEs in time-dependent domains ⋮ On a decomposition of symmetric diffusions with reflecting boundary conditions.

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
• Weak limit theorems for stochastic integrals and stochastic differential equations
• 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
• Strong Solutions of Stochastic Differential Equations with Boundary Conditions

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