Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients

DOI10.1080/07362994.2022.2064306zbMath1517.65008OpenAlexW4224312849WikidataQ115297107 ScholiaQ115297107MaRDI QIDQ6046014

Kamal Hiderah, Mohamed Bourza

Publication date: 15 May 2023

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

Full work available at URL: https://doi.org/10.1080/07362994.2022.2064306

zbMATH Keywords

strong convergencelocal timeirregular coefficientsCarathéodory approximate solutionperturbed stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Existence and uniqueness of solutions for perturbed stochastic differential equations with reflected boundary ⋮ The Carathéodory approximation scheme for stochastic differential equations with G‐Lévy process

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process
• Absolute continuity of the laws of perturbed diffusion processes and perturbed reflected diffusion processes
• A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
• Large deviations for a class of anticipating stochastic differential equations
• Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion
• Perturbed Brownian motions
• Some calculations for doubly perturbed Brownian motion
• Approximate solutions for a class of doubly perturbed stochastic differential equations
• Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero
• Perturbed Skorohod equations and perturbed reflected diffusion processes
• Large deviations for stochastic systems with memory
• On the uniqueness of solutions of stochastic differential equations
• Carathéodory approximate solutions for a class of stochastic differential equations involving the local time at point zero with one-sided Lipschitz continuous drift coefficients
• Enlacements du Mouvement Brownien Autour Des Courbes de L'Espace
• Carathéodory approximation solutions to a class of stochastic functional differential equations
• Approximate solutions for a class of stochastic evolution equations with variable delays
• On the solution of stochastic ordinary differential equations via small delays
• Convergence rate of Euler scheme for time-inhomogeneous SDEs involving the local time of the unknown process
• Large deviations for perturbed reflected diffusion processes
• Carathéodory approximate solutions for a class of perturbed stochastic differential equations with reflecting boundary
• ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS
• On the convergence of carathéodory numerical scheme for Mckean-Vlasov equations
• Existence and pathwise uniqueness of solutions for stochastic differential equations involving the local time at point zero

This page was built for publication: Carathéodory approximate solutions for a class of perturbed reflected stochastic differential equations with irregular coefficients