An approximation scheme for reflected stochastic differential equations

DOI10.1016/J.SPA.2011.03.005MaRDI QIDQ550161zbMATH OpenOpenAlexFDO

Authors Lawrence Christopher Evans, Daniel W. Stroock

Publication date 8 July 2011

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

Full work available at URL https://arxiv.org/abs/1008.3428

zbMATH Keywords

reflected stochastic differential equationWong-Zakai approximation

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60)

Abstract: In this paper we consider the Stratonovich reflected stochastic differential equation $d{X}_t=sigma(X_t)circd{W}_t+b(X_t)dt+d{L}_t$ in a bounded domain $O$ which satisfies conditions, introduced by Lions and Sznitman, which are specified below. Letting $W_t^N$ be the $N$-dyadic piecewise linear interpolation of $W_t$ what we show is that one can solve the reflected ordinary differential equation $dot{X}_t^N=sigma(X_t^N)dot{W}_t^N+b(X_t^N)+dot{L}_t^N$ and that the distribution of the pair $(X_t^N,L_t^N)$ converges weakly to that of $(X_t,L_t)$. Hence, what we prove is a distributional version for reflected diffusions of the famous result of Wong and Zakai. Perhaps the most valuable contribution made by our procedure derives from the representation of $dot{X}_t^N$ in terms of a projection of $dot{W}_t^N$. In particular, we apply our result in hand to derive some geometric properties of coupled reflected Brownian motion in certain domains, especially those properties which have been used in recent work on the "hot spots" conjecture for special domain.

Recommendations

• Strong convergence of Wong-Zakai approximations of reflected SDEs in a multidimensional general domain
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Cited in

(25)

• A numerical scheme using Itô excursions for simulating local time resp. Stochastic differential equations with reflection
• Limit theorems and the support of SDES with oblique reflections on nonsmooth domains
• Parametrix methods for one-dimensional reflected SDEs
• 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
• Strong approximation rate for Wiener process by fast oscillating integrated Ornstein-Uhlenbeck processes
• Approximations for stochastic differential equations with reflecting convex boundaries
• Wong-Zakai approximations and center manifolds of stochastic differential equations
• Penalty method for obliquely reflected diffusions
• Approximate the dynamical behavior for stochastic systems by Wong-zakai approaching
• Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces
• Discrete approximations to reflected Brownian motion
• On reflected Stratonovich stochastic differential equations
• A LINEAR PROGRAMMING APPROACH TO THE STEADY-STATE ANALYSIS OF REFLECTED BROWNIAN MOTION
• A Wong-Zakai approximation for random invariant manifolds
• Strong convergence of Wong-Zakai approximations of reflected SDEs in a multidimensional general domain
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• Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces. II
• A new numerical scheme for a class of reflected stochastic differential equations
• On approximations for reflected SDEs and SPDEs with Neumann boundary conditions
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• Wong-Zakai approximations and support theorem for reflected SDEs with path-dependent coefficients
• On Harnack inequality and Hölder continuity for non uniformly elliptic equations
• Wong-Zakai approximations for stochastic Volterra equations
• On approximate continuity and the support of reflected stochastic differential equations
• Wong-Zakai approximations of backward doubly stochastic differential equations

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