Discrete Approximations of Strong Solutions of Reflecting SDEs with Discontinuous Coefficients

• Autorzy: Alina Semrau
• Języki publikacji: EN

Abstrakty

EN

We study $L^p$ convergence for the Euler scheme for stochastic differential equations reflecting on the boundary of a general convex domain D ⊆ ℝ^d. We assume that the equation has the pathwise uniqueness property and its coefficients are measurable and continuous almost everywhere with respect to the Lebesgue measure. In the case D=[0,∞) new sufficient conditions ensuring pathwise uniqueness for equations with possibly discontinuous coefficients are given.

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: 2009
• Tom: 57
• Numer: 2
• Strony: 169-180

Daty

wydano

2009

Twórcy

autor

Alina Semrau

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

Identyfikatory

DOI

10.4064/ba57-2-10