Penalization schemes for multi-valued stochastic differential equations (Q1950653)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Penalization schemes for multi-valued stochastic differential equations |
scientific article |
Statements
Penalization schemes for multi-valued stochastic differential equations (English)
0 references
13 May 2013
0 references
The rate of the strong mean square convergence of the penalization scheme for the multi-valued stochastic differential equations driven by a standard, \(d\)-dimensional Brownian motion is established.
0 references
penalization scheme
0 references
Skorohod problem
0 references
multi-valued stochastic differential equation
0 references
convergence rate
0 references
