An approximation scheme for reflected stochastic differential equations

DOI10.1016/j.spa.2011.03.005zbMath1267.60077arXiv1008.3428OpenAlexW2006281777MaRDI QIDQ550161

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

Wong-Zakai approximationreflected stochastic differential equation

Mathematics Subject Classification ID

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

Related Items (15)

Limit theorems and the support of SDES with oblique reflections on nonsmooth domains ⋮ Approximate the dynamical behavior for stochastic systems by Wong-zakai approaching ⋮ On approximations for reflected SDEs and SPDEs with Neumann boundary conditions ⋮ A Wong-Zakai approximation for random invariant manifolds ⋮ Wong-Zakai Approximation of Solutions to Reflecting Stochastic Differential Equations on Domains in Euclidean Spaces II ⋮ Strong convergence of Wong-Zakai approximations of reflected SDEs in a multidimensional general domain ⋮ Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces ⋮ Reflected rough differential equations ⋮ 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 ⋮ Wong-Zakai approximations and center manifolds of stochastic differential equations ⋮ On approximate continuity and the support of reflected stochastic differential equations ⋮ On reflected Stratonovich stochastic differential equations ⋮ Wong-Zakai approximations of backward doubly stochastic differential equations ⋮ Penalty method for obliquely reflected diffusions

Cites Work

• Existence of slow solutions for a class of differential inclusions
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• Stochastic differential equations with reflecting boundary condition in convex regions
• On the ``hot spots conjecture of J. Rauch
• On the relation between ordinary and stochastic differential equations
• Multidimensional diffusion processes.
• Stochastic differential equations with reflecting boundary conditions
• Wong-zaksi approximations for reflecting stochastic differential equations
• Variational Analysis
• On Neumann eigenfunctions in lip domains
• Local differentiability of distance functions
• On the Convergence of Ordinary Integrals to Stochastic Integrals
• Diffusion processes with boundary conditions
• Optimal control
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