Weak and strong approximations of reflected diffusions via penalization methods

DOI10.1016/j.spa.2012.10.006zbMath1262.60081arXiv1206.7063OpenAlexW1984428484MaRDI QIDQ1940231

Leszek Slominski

Publication date: 6 March 2013

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

Full work available at URL: https://arxiv.org/abs/1206.7063

zbMATH Keywords

rate of convergencereflected diffusionsstrong approximationsweak approximationspenalized stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Ordinary differential equations and systems with randomness (34F05) Functional limit theorems; invariance principles (60F17)

Related Items (12)

Penalization for a PDE with a nonlinear Neumann boundary condition and measurable coefficients ⋮ Large deviations and exit-times for reflected McKean-Vlasov equations with self-stabilising terms and superlinear drifts ⋮ Semi-implicit Euler-Maruyama approximation for noncolliding particle systems ⋮ Boundary approximation for sticky jump-reflected processes on the half-line ⋮ Penalisation techniques for one-dimensional reflected rough differential equations ⋮ Reflected Brownian motion with singular drift ⋮ A Lagrangian fluctuation–dissipation relation for scalar turbulence. Part II. Wall-bounded flows ⋮ Penalty method for obliquely reflected diffusions ⋮ Stochastic Theta Method for a Reflected Stochastic Differential Equation ⋮ Approximation of a degenerate semilinear PDE with a nonlinear Neumann boundary condition ⋮ Semi-implicit Euler-Maruyama scheme for polynomial diffusions on the unit ball ⋮ An approximation scheme for reflected stochastic differential equations with non-Lipschitzian coefficients

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