On approximations for reflected SDEs and SPDEs with Neumann boundary conditions

DOI10.3934/DCDSB.2023068MaRDI QIDQ6156565zbMATH OpenFDO

Authors

Publication date 13 June 2023

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/DCDSB.2023068

zbMATH Keywords

Neumann boundary conditionstochastic partial differential equationlimit theorembackward doubly stochastic differential equationsmooth approximationreflected stochastic differential equation

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• On reflected Stratonovich stochastic differential equations
• Lattice approximations of reflected stochastic partial differential equations driven by space-time white noise
• An approximation result for nonlinear SPDEs with Neumann boundary conditions
• An approximation result for a nonlinear Neumann boundary value problem via BSDEs
• An approximation scheme for reflected stochastic differential equations

Cites work

• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 3403582 (Why is no real title available?)
• A class of approximations of Brownian motion
• An approximation scheme for reflected stochastic differential equations
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Limit theorems and the support of SDES with oblique reflections on nonsmooth domains
• On Wong-Zakai type approximations of reflected diffusions
• On approximate continuity and the support of reflected stochastic differential equations
• On the Convergence of Ordinary Integrals to Stochastic Integrals
• On the relation between ordinary and stochastic differential equations
• Probabilistic approach for nonlinear partial differential equations and stochastic partial differential equations with Neumann boundary conditions
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• Stochastic differential equations with reflecting boundary conditions
• Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I
• Strong convergence of Wong-Zakai approximations of reflected SDEs in a multidimensional general domain
• Support theorem for stochastic variational inequalities
• Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces
• Wong-Zakai approximations of backward doubly stochastic differential equations
• Wong-zaksi approximations for reflecting stochastic differential equations

Cited in

(6)

• An approximation result for a nonlinear Neumann boundary value problem via BSDEs
• An approximation scheme for reflected stochastic differential equations with non-Lipschitzian coefficients
• Lattice approximations of semilinear stochastic elliptic equations with reflection
• An approximation result for nonlinear SPDEs with Neumann boundary conditions
• Convergence rate of the projection scheme for reflected SDEs with non-Lipschitz coefficients
• Lattice approximations of reflected stochastic partial differential equations driven by space-time white noise

This page was built for publication: On approximations for reflected SDEs and SPDEs with Neumann boundary conditions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6156565)