Euler's Approximations of Weak Solutions of Reflecting SDEs with Discontinuous Coefficients

• Autorzy: Alina Semrau
• Języki publikacji: EN

Abstrakty

EN

We study convergence in law for the Euler and Euler-Peano schemes for stochastic differential equations reflecting on the boundary of a general convex domain. We assume that the coefficients are measurable and continuous almost everywhere with respect to the Lebesgue measure. The proofs are based on new estimates of Krylov's type for the approximations considered.

Kategorie tematyczne

• 60F17: Functional limit theorems; invariance principles
• 60H20: Stochastic integral equations
• 60H99: None of the above, but in this section

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Bulletin of the Polish Academy of Sciences. Mathematics
• Rocznik: 2007
• Tom: 55
• Numer: 2
• Strony: 171-182

Daty

wydano

2007

Twórcy

autor

Alina Semrau

• Institute of Mathematics and Physics, University of Technology and Agriculture, Kaliskiego 7, 85-796 Bydgoszcz, Poland

Identyfikatory

DOI

10.4064/ba55-2-8