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

DOI10.1016/J.SPA.2013.05.004zbMATH Open1292.60071arXiv1301.4023OpenAlexW3153623824MaRDI QIDQ2447733FDOQ2447733

Authors: Shigeki Aida, Kosuke Sasaki 

Publication date: 28 April 2014

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

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 $D$.

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

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zbMATH Keywords

strong convergenceWong-Zakai approximationreflecting stochastic differential equation

Mathematics Subject Classification ID

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

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Cited In (27)

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

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