On approximations of the Euler-Peano scheme for multivalued stochastic differential equations

DOI10.1080/17442508.2018.1521809zbMath1500.60035OpenAlexW2892380807MaRDI QIDQ5086423

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Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2018.1521809

zbMATH Keywords

weak approximationstrong approximationpathwise uniquenessmultivalued stochastic differential equationstochastic semi-flowEuler-Peano scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cites Work

• Strong completeness and semi-flows for stochastic differential equations with monotone drift
• Weak solutions and optimal control for multivalued stochastic differential equations
• Multivalued Skorohod problem
• Limit theorems for stochastic variational inequalities with non-Lipschitz coefficients
• On existence of solutions of multivalued stochastic differential equations with discontinuous coefficients
• Euler's Approximations of Solutions of Reflecting SDEs with Discontinuous Coefficients
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