Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces

DOI10.1016/J.SPA.2013.05.004MaRDI QIDQ2447733zbMATH OpenOpenAlexFDO

Authors Shigeki Aida, Kosuke Sasaki

Publication date 28 April 2014

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1301.4023

zbMATH Keywords

reflecting stochastic differential equationstrong convergenceWong-Zakai approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Abstract: In this paper, we study the Wong-Zakai approximation of the solution to the stochastic differential equation on a domain $D$ in a Euclidean space with normal reflection at the boundary. We prove the $L^p$ convergence of the approximation in $$ under some general conditions on $D$.

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Cited in

(33)

• Limit theorems and the support of SDES with oblique reflections on nonsmooth domains
• The rates of the \(L^p\)-convergence of the Euler-Maruyama and Wong-Zakai approximations of path-dependent stochastic differential equations under the Lipschitz condition
• Continuous Wong-Zakai approximations of random attractors for quasi-linear equations with nonlinear noise
• Wong-Zakai approximations and center manifolds of stochastic differential equations
• Penalty method for obliquely reflected diffusions
• Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise
• Continuity of random attractors on a topological space and fractional delayed Fitzhugh-Nagumo equations with WZ-noise
• Càdlàg rough differential equations with reflecting barriers
• One-dimensional reflected rough differential equations
• Probabilistic approach for nonlinear partial differential equations and stochastic partial differential equations with Neumann boundary conditions
• Moment bounds for SPDEs with non-Gaussian fields and application to the Wong-Zakai problem
• On reflected Stratonovich stochastic differential equations
• On Wong-Zakai type approximations of reflected diffusions
• Pathwise uniqueness and non-explosion property of Skorohod SDEs with a class of non-Lipschitz coefficients and non-smooth domains
• Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions
• Wong-zaksi approximations for reflecting stochastic differential equations
• Strong convergence of Wong-Zakai approximations of reflected SDEs in a multidimensional general domain
• Reflected rough differential equations
• Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces. II
• Dynamical stability of random delayed FitzHugh–Nagumo lattice systems driven by nonlinear Wong–Zakai noise
• Wong-Zakai approximations for stochastic differential equations with path-dependent coefficients
• On approximations for reflected SDEs and SPDEs with Neumann boundary conditions
• Anticipated BSDEs with reflection in convex region
• Binary robustness of random attractors for 2D-Ginzburg-Landau equations with Wong-Zakai noise
• Rough differential equations containing path-dependent bounded variation terms
• On the relationship between viscosity and distribution solutions for nonlinear Neumann type PDEs: the probabilistic approach
• Approximations of Euler-Peano scheme for reflected stochastic differential equations with non-Lipschitz coefficients
• Higher-order continuity of pullback random attractors for random quasilinear equations with nonlinear colored noise
• Wong-Zakai approximations and support theorem for reflected SDEs with path-dependent coefficients
• Wong-Zakai approximations for stochastic Volterra equations
• Convergence rate of the projection scheme for reflected SDEs with non-Lipschitz coefficients
• On approximate continuity and the support of reflected stochastic differential equations
• Wong-Zakai approximations of backward doubly stochastic differential equations

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