Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients (Q6046014): Difference between revisions

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scientific article; zbMATH DE number 7685971

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English	Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients	scientific article; zbMATH DE number 7685971

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scholarly article

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title

Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients (English)

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Stochastic Analysis and Applications

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publication date

15 May 2023

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zbMATH Keywords

Carathéodory approximate solution

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strong convergence

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perturbed stochastic differential equations

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local time

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irregular coefficients

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/07362994.2022.2064306

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cites work

ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS

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

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Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process

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Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero

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On the solution of stochastic ordinary differential equations via small delays

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Large deviations for perturbed reflected diffusion processes

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Convergence rate of Euler scheme for time-inhomogeneous SDEs involving the local time of the unknown process

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Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion

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Some calculations for doubly perturbed Brownian motion

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Q5848416

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Q4213423

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Perturbed Skorohod equations and perturbed reflected diffusion processes

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A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients

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Existence and pathwise uniqueness of solutions for stochastic differential equations involving the local time at point zero

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Carathéodory approximate solutions for a class of stochastic differential equations involving the local time at point zero with one-sided Lipschitz continuous drift coefficients

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Enlacements du Mouvement Brownien Autour Des Courbes de L'Espace

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Approximate solutions for a class of stochastic evolution equations with variable delays

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Approximate solutions for a class of doubly perturbed stochastic differential equations

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On the convergence of carathéodory numerical scheme for Mckean-Vlasov equations

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Large deviations for a class of anticipating stochastic differential equations

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Large deviations for stochastic systems with memory

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Perturbed Brownian motions

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Q4663402

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Carathéodory approximation solutions to a class of stochastic functional differential equations

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Q4854272

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On the uniqueness of solutions of stochastic differential equations

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Absolute continuity of the laws of perturbed diffusion processes and perturbed reflected diffusion processes

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Identifiers

zbMATH Open document ID

1517.65008

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DOI

10.1080/07362994.2022.2064306

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6046014

@@ Property / cites work @@
+ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS
+Normal rank
@@ Property / cites work @@
+Carathéodory approximate solutions for a class of perturbed stochastic differential equations with reflecting boundary
+Normal rank
@@ Property / cites work @@
+Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process
+Normal rank
@@ Property / cites work @@
+Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero
+Normal rank
@@ Property / cites work @@
+On the solution of stochastic ordinary differential equations via small delays
+Normal rank
@@ Property / cites work @@
+Large deviations for perturbed reflected diffusion processes
+Normal rank
@@ Property / cites work @@
+Convergence rate of Euler scheme for time-inhomogeneous SDEs involving the local time of the unknown process
+Normal rank
@@ Property / cites work @@
+Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion
+Normal rank
@@ Property / cites work @@
+Some calculations for doubly perturbed Brownian motion
+Normal rank
@@ Property / cites work @@
+Q5848416
@@ Property / cites work: Q5848416 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4213423
@@ Property / cites work: Q4213423 / rank @@
+Normal rank
@@ Property / cites work @@
+Perturbed Skorohod equations and perturbed reflected diffusion processes
+Normal rank
@@ Property / cites work @@
+A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
+Normal rank
@@ Property / cites work @@
+Existence and pathwise uniqueness of solutions for stochastic differential equations involving the local time at point zero
+Normal rank
@@ Property / cites work @@
+Carathéodory approximate solutions for a class of stochastic differential equations involving the local time at point zero with one-sided Lipschitz continuous drift coefficients
+Normal rank
@@ Property / cites work @@
+Enlacements du Mouvement Brownien Autour Des Courbes de L'Espace
+Normal rank
@@ Property / cites work @@
+Approximate solutions for a class of stochastic evolution equations with variable delays
+Normal rank
@@ Property / cites work @@
+Approximate solutions for a class of doubly perturbed stochastic differential equations
+Normal rank
@@ Property / cites work @@
+On the convergence of carathéodory numerical scheme for Mckean-Vlasov equations
+Normal rank
@@ Property / cites work @@
+Large deviations for a class of anticipating stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Large deviations for stochastic systems with memory
+Normal rank
@@ Property / cites work @@
+Perturbed Brownian motions
@@ Property / cites work: Perturbed Brownian motions / rank @@
+Normal rank
@@ Property / cites work @@
+Q4663402
@@ Property / cites work: Q4663402 / rank @@
+Normal rank
@@ Property / cites work @@
+Carathéodory approximation solutions to a class of stochastic functional differential equations
+Normal rank
@@ Property / cites work @@
+Q4854272
@@ Property / cites work: Q4854272 / rank @@
+Normal rank
@@ Property / cites work @@
+On the uniqueness of solutions of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Absolute continuity of the laws of perturbed diffusion processes and perturbed reflected diffusion processes
+Normal rank