Carathéodory approximate solutions for a class of perturbed stochastic differential equations with reflecting boundary

DOI10.1080/07362994.2019.1623049OpenAlexW2952948387MaRDI QIDQ5240642

Mohamed Bourza, Mohsine Benabdallah

Publication date: 29 October 2019

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

Full work available at URL: https://doi.org/10.1080/07362994.2019.1623049

zbMATH Keywords

local timeCarathéodory approximate solutionperturbed stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical solutions to stochastic differential and integral equations (65C30) Rate of convergence, degree of approximation (41A25) Local time and additive functionals (60J55)

Related Items (5)

Weak convergence of delay SDEs with applications to Carathéodory approximation ⋮ Carathéodory approximate solutions for a class of stochastic differential equations involving the local time at point zero with one-sided Lipschitz continuous drift coefficients ⋮ Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients ⋮ Some types of Carathéodory scheme for Caputo stochastic fractional differential equations in \(L^p\) spaces ⋮ On the convergence of carathéodory numerical scheme for Mckean-Vlasov equations

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