Some remarks on approximation of solutions of SDE's with reflecting boundary conditions

DOI10.1016/0378-4754(93)E0073-EMaRDI QIDQ1897664zbMATH OpenOpenAlexWikidataFDO

Authors Leszek Slominski

Publication date 6 November 1995

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-4754(93)e0073-e

zbMATH Keywords

Euler scheme for stochastic differential equationsreflection at the boundary

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• scientific article; zbMATH DE number 3749990 (Why is no real title available?)
• scientific article; zbMATH DE number 203212 (Why is no real title available?)
• On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
• On existence, uniqueness and stability of solutions of multidimensional SDE's with reflecting boundary conditions
• On lipschitz continuity of the solution mapping to the skorokhod problem, with applications
• Stochastic Equations for Diffusion Processes in a Bounded Region. II
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• Stochastic differential equations with reflecting boundary condition in convex regions
• Stochastic differential equations with reflecting boundary conditions
• Strong Solutions of Stochastic Differential Equations with Boundary Conditions

Cited in

(12)

• On the -distance between semimartingales reflecting in different domains>
• Stochastic Theta Method for a Reflected Stochastic Differential Equation
• Euler-Peano approximation of oblique reflected stochastic differential equations
• A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\)
• scientific article; zbMATH DE number 203212 (Why is no real title available?)
• On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
• On stability and existence of solutions of SDEs with reflection at the boundary
• Euler's approximations of solutions of SDEs with reflecting boundary.
• Approximations for stochastic differential equations with reflecting convex boundaries
• scientific article; zbMATH DE number 1850754 (Why is no real title available?)
• Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces
• Euler schemes and half-space approximation for the simulation of diffusion in a domain

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