Penalization schemes for multi-valued stochastic differential equations

DOI10.1016/J.SPL.2012.10.019zbMATH Open1274.60222OpenAlexW1997024402MaRDI QIDQ1950653FDOQ1950653

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

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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)

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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