Projection scheme for stochastic differential equations with convex constraints.

DOI10.1016/S0304-4149(99)00121-0zbMath1045.60062MaRDI QIDQ1877506

Roger Pettersson

Publication date: 7 September 2004

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

zbMATH Keywords

variational inequalities; numerical methods; stochastic differential equations

Mathematics Subject Classification ID

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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