EN
CONTENTS
Introduction........................................................................................................5
0. Announcement of results...............................................................................7
1. Condition (UT).............................................................................................18
2. Weak convergence of solutions...................................................................26
3. Convergence in probability..........................................................................35
4. Stability of SDE's with past-dependent and non-Lipschitz coefficients.........43
5. Stability of Stratonovich SDE's.....................................................................49
6. Skorokhod problem, deterministic case........................................................59
7. Skorokhod problem, nondeterministic case..................................................67
8. SDE's with reflecting boundary.....................................................................74
9. Flows of SDE's with reflecting boundary.......................................................83
10. Numerical schemes for SDE's with reflecting boundary..............................87
Appendix A. Convergence in the Skorokhod topology J₁...............................103
Appendix B. (UT) and convergence of stochastic integrals............................106
Appendix C. Gronwall's lemma.......................................................................106
References....................................................................................................108
Index of symbols.............................................................................................112
Index of terms.................................................................................................113