On approximation of solutions of one-dimensional reflecting SDEs with discontinuous coefficients
DOI10.1016/j.spl.2014.10.011zbMath1329.60238MaRDI QIDQ2339570
Publication date: 1 April 2015
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2014.10.011
stochastic differential equations; \(L^p\)-convergence; Skorokhod problem; convergence in law; stochastic integrals; reflecting boundary condition; discrete approximation schemes
60F05: Central limit and other weak theorems
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H05: Stochastic integrals
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
60F17: Functional limit theorems; invariance principles
60H20: Stochastic integral equations
60F25: (L^p)-limit theorems
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