An approximation scheme for reflected stochastic differential equations with non-Lipschitzian coefficients

DOI10.1007/S10959-020-01052-7MaRDI QIDQ2116492zbMATH OpenOpenAlexWikidataFDO

Authors Junxia Duan, Jun Peng

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

zbMATH Keywords

stochastic differential equationsreflecting boundarynon-Lipschitzian coefficientspenalization Euler scheme

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 3774629 (Why is no real title available?)
• scientific article; zbMATH DE number 3304501 (Why is no real title available?)
• scientific article; zbMATH DE number 3342557 (Why is no real title available?)
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• Equations différentielles stochastiques rétrogrades réfléchies dans un convexe
• Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
• Euler's approximations of solutions of SDEs with reflecting boundary.
• New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients
• On existence, uniqueness and stability of solutions of multidimensional SDE's with reflecting boundary conditions
• Penalization methods for the Skorokhod problem and reflecting SDEs with jumps
• Penalization schemes for reflecting stochastic differential equations
• SDEs with oblique reflection on nonsmooth domains
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• Stochastic differential equations with reflecting boundary condition in convex regions
• Stochastic differential equations with reflecting boundary conditions
• Weak and strong approximations of reflected diffusions via penalization methods

Cited in

(4)

• On approximation of solutions of one-dimensional reflecting SDEs with discontinuous coefficients
• Strong comparison result for a class of reflected stochastic differential equations with non-Lipschitzian coefficients
• Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients
• A new numerical scheme for a class of reflected stochastic differential equations

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