Approximations for stochastic differential equations with reflecting convex boundaries
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Publication:1904549
DOI10.1016/0304-4149(95)00040-EzbMath0841.60042MaRDI QIDQ1904549
Publication date: 31 July 1996
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60H99) Stochastic integral equations (60H20) (L^p)-limit theorems (60F25)
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Cites Work
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- Diffusion equation for multivalued stochastic differential equations
- Stochastic differential equations for multi-dimensional domain with reflecting boundary
- Stochastic differential equations with reflecting boundary condition in convex regions
- Higher-order implicit strong numerical schemes for stochastic differential equations
- On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
- Asymptotics via empirical processes. With comments and a rejoinder by the author
- Strong Solutions of Stochastic Differential Equations with Boundary Conditions
- On lipschitz continuity of the solution mapping to the skorokhod problem, with applications
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