Penalization schemes for multi-valued stochastic differential equations

DOI10.1016/J.SPL.2012.10.019MaRDI QIDQ1950653zbMATH OpenOpenAlexFDO

Authors Jing Wu, Hua Zhang

Publication date 13 May 2013

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2012.10.019

zbMATH Keywords

convergence rateSkorohod problemmulti-valued stochastic differential equationpenalization scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Monotone operators and generalizations (47H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Evolution inclusions (34G25)

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Cited in

(5)

• Strong convergence rate for multivalued stochastic differential equations via stochastic theta method
• Penalising symmetric stable Lévy paths
• Approximating and Simulating Multivalued Stochastic Differential Equations
• Error estimates of the backward Euler-Maruyama method for multi-valued stochastic differential equations
• Large deviations for invariant measures of multivalued stochastic differential equations

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