Wong-zaksi approximations for reflecting stochastic differential equations

DOI10.1080/07362999908809624zbMath0952.60054OpenAlexW2053189478MaRDI QIDQ4261536

Roger Pettersson

Publication date: 2 January 2001

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

Full work available at URL: https://doi.org/10.1080/07362999908809624

zbMATH Keywords

differential inclusionsSkorokhod problemstochastic differential equations with reflection

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (16)

Limit theorems and the support of SDES with oblique reflections on nonsmooth domains ⋮ Approximate the dynamical behavior for stochastic systems by Wong-zakai approaching ⋮ Support theorem for stochastic variational inequalities ⋮ On approximations for reflected SDEs and SPDEs with Neumann boundary conditions ⋮ A Wong-Zakai approximation for random invariant manifolds ⋮ Wong-Zakai Approximation of Solutions to Reflecting Stochastic Differential Equations on Domains in Euclidean Spaces II ⋮ Strong convergence of Wong-Zakai approximations of reflected SDEs in a multidimensional general domain ⋮ Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces ⋮ Reflected rough differential equations ⋮ Strong approximation rate for Wiener process by fast oscillating integrated Ornstein-Uhlenbeck processes ⋮ An approximation scheme for reflected stochastic differential equations ⋮ Wong-Zakai approximations and center manifolds of stochastic differential equations ⋮ On approximate continuity and the support of reflected stochastic differential equations ⋮ Approximation for random stable manifolds under multiplicative correlated noises ⋮ On reflected Stratonovich stochastic differential equations ⋮ Penalty method for obliquely reflected diffusions

Cites Work

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• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• On the strong solutions of one-dimensional stochastic differential equations with reflecting boundary
• On the relation between ordinary and stochastic differential equations
• Solutions faibles d'équations d'évolution dans les espaces de Hilbert. (Weak solution of evolution equations in Hilbert spaces)
• Stochastic differential equations with reflecting boundary conditions
• On the Convergence of Ordinary Integrals to Stochastic Integrals

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