Weak and strong approximations of reflected diffusions via penalization methods

DOI10.1016/J.SPA.2012.10.006MaRDI QIDQ1940231zbMATH OpenOpenAlexWikidataFDO

Authors 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

penalized stochastic differential equationsrate of convergencereflected diffusionsstrong approximationsweak approximations

Mathematics Subject Classification ID

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

Abstract: We study approximations of reflected It^o diffusions on convex subsets $D$ of $Rd$ by solutions of stochastic differential equations with penalization terms. We assume that the diffusion coefficients are merely measurable (possibly discontinuous) functions. In the case of Lipschitz continuous coefficients we give the rate of $L^p$ approximation for every $pgeq1$. We prove that if $D$ is a convex polyhedron then the rate is $O((fraclnnn{)}^{1/2})$, and in the general case the rate is $O((fraclnnn{)}^{1/4})$.

Review text

Reflected diffusions in a convex domain \(D\) with measurable coefficients are approximated by diffusions that penalize excursions outside \(D\), with a penalty proportional to the deviation from \(D\). In the infinite penalty limit, the latter are shown to approximate the weak, resp., strong, solutions of the former in law, resp., in probability, under conditions which are very general. Under stronger conditions, rate of convergence results are obtained in terms of bounds on the \(p\)-th moment, \(p \geq 1\), of the maximum distance between the trajectories on a compact time interval. Better bounds are shown to hold when \(D\) is a polyhedron.

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Cited in

(14)

• Reflected Brownian motion with singular drift
• Penalty method for obliquely reflected diffusions
• 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
• Semi-implicit Euler-Maruyama approximation for noncolliding particle systems
• Penalisation techniques for one-dimensional reflected rough differential equations
• Large deviations and exit-times for reflected McKean-Vlasov equations with self-stabilising terms and superlinear drifts
• Penalty method for reflected diffusions on the half-line
• A Lagrangian fluctuation-dissipation relation for scalar turbulence. II: Wall-bounded flows
• Stochastic Theta Method for a Reflected Stochastic Differential Equation
• Penalization for a PDE with a nonlinear Neumann boundary condition and measurable coefficients
• Boundary approximation for sticky jump-reflected processes on the half-line
• A penalization limit theorem for the boundary local time of a reflected diffusion

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