An approximation scheme for reflected stochastic differential equations with non-Lipschitzian coefficients
From MaRDI portal
Publication:2116492
DOI10.1007/s10959-020-01052-7zbMath1495.60048OpenAlexW3096897312WikidataQ115382032 ScholiaQ115382032MaRDI QIDQ2116492
Publication date: 17 March 2022
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10959-020-01052-7
stochastic differential equationsreflecting boundarynon-Lipschitzian coefficientspenalization Euler scheme
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
- New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients
- Stochastic differential equations for multi-dimensional domain with reflecting boundary
- Stochastic differential equations with reflecting boundary condition in convex regions
- Penalization schemes for reflecting stochastic differential equations
- Euler's approximations of solutions of SDEs with reflecting boundary.
- Weak and strong approximations of reflected diffusions via penalization methods
- SDEs with oblique reflection on nonsmooth domains
- On existence, uniqueness and stability of solutions of multidimensional SDE's with reflecting boundary conditions
- A concise course on stochastic partial differential equations
- Penalization methods for the Skorokhod problem and reflecting SDEs with jumps
- A. Skorohod's stochastic integral equation for a reflecting barrier diffusion
- A study of a class of stochastic differential equations with non-Lipschitzian coefficients
- Stochastic differential equations with reflecting boundary conditions
- Equations différentielles stochastiques rétrogrades réfléchies dans un convexe
