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
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
- Stochastic differential equations with reflecting boundary condition in convex regions
- The Skorohod oblique reflection problem in domains with corners and application to stochastic differential equations
- On stability and existence of solutions of SDEs with reflection at the boundary
- On the strong solutions of one-dimensional stochastic differential equations with reflecting boundary
- On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
- The Euler scheme with irregular coefficients
- Euler's approximations of solutions of SDEs with reflecting boundary.
- Euler scheme for reflected stochastic differential equations
- Approximations for stochastic differential equations with reflecting convex boundaries
- Existence of strong solutions for Itô's stochastic equations via approximations
- On diffusion approximation with discountinuous coefficients.
- Discrete Approximations of Strong Solutions of Reflecting SDEs with Discontinuous Coefficients
- Stochastic equations and krylov's estimates for semimartingales
- On Stochastic Differential Equations with Reflecting Barriers
- ON CONTROLLED DIFFUSION PROCESSES WITH UNBOUNDED COEFFICIENTS
- Stochastic differential equations with reflecting boundary conditions
- Strong Solutions of Stochastic Differential Equations with Boundary Conditions
- Queueing Simulation in Heavy Traffic
- On Stochastic Differential Equations with Reflecting Boundary Condition in Convex Domains
- Euler's Approximations of Solutions of Reflecting SDEs with Discontinuous Coefficients
- Euler's Approximations of Weak Solutions of Reflecting SDEs with Discontinuous Coefficients
- A multiclass feedback queueing network with a regular Skorokhod problem