Projection scheme for stochastic differential equations with convex constraints.
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Publication:1877506
DOI10.1016/S0304-4149(99)00121-0zbMath1045.60062MaRDI QIDQ1877506
Publication date: 7 September 2004
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H99: Stochastic analysis
60H20: Stochastic integral equations
60F25: (L^p)-limit theorems
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Cites Work
- Stochastic differential equations with reflecting boundary condition in convex regions
- On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
- Diffusing particles with electrostatic repulsion
- Approximations for stochastic differential equations with reflecting convex boundaries
- Stochastic variational inequalities in infinite dimensional spaces
- Stochastic differential equations with a convex constraint
- Stochastic Equations in Infinite Dimensions
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