On the -distance between semimartingales reflecting in different domains>
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Publication:2706907
DOI10.1080/17442500008834260zbMath0970.60073OpenAlexW1982076504MaRDI QIDQ2706907
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
stochastic differential equationSkorokhod problemprojection schemereflecting boundary conditiondiscrete penalization scheme
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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