On approximations for reflected SDEs and SPDEs with Neumann boundary conditions

DOI10.3934/DCDSB.2023068zbMATH Open1515.60217MaRDI QIDQ6156565FDOQ6156565

Author name not available (Why is that?)

Publication date: 13 June 2023

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

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)

Cites Work

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• An approximation scheme for reflected stochastic differential equations
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• On approximate continuity and the support of reflected stochastic differential equations
• A class of approximations of Brownian motion
• Wong-Zakai approximations of backward doubly stochastic differential equations
• Limit theorems and the support of SDES with oblique reflections on nonsmooth domains
• On Wong-Zakai type approximations of reflected diffusions

Cited In (1)

• An approximation result for a nonlinear Neumann boundary value problem via BSDEs

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