Euler's Approximations of Weak Solutions of Reflecting SDEs with Discontinuous Coefficients

DOI10.4064/ba55-2-8zbMath1119.60058OpenAlexW2312566071MaRDI QIDQ5293309

Alina Semrau

Publication date: 29 June 2007

Published in: Bulletin of the Polish Academy of Sciences Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/ba55-2-8

zbMATH Keywords

stochastic differential equationSkorokhod problemreflecting boundary condition

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Functional limit theorems; invariance principles (60F17) Stochastic analysis (60H99) Stochastic integral equations (60H20)

Related Items (4)

Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm ⋮ Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero ⋮ Carathéodory approximate solutions for a class of perturbed stochastic differential equations with reflecting boundary ⋮ On approximation of solutions of one-dimensional reflecting SDEs with discontinuous coefficients

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