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

• Autorzy: Alina Semrau-Giłka
• Języki publikacji: EN

Abstrakty

EN

Let D be either a convex domain in $ℝ^d$ or a domain satisfying the conditions (A) and (B) considered by Lions and Sznitman (1984) and Saisho (1987). We investigate convergence in law as well as in $L^p$ for the Euler and Euler-Peano schemes for stochastic differential equations in D with normal reflection at the boundary. The coefficients are measurable, continuous almost everywhere with respect to the Lebesgue measure, and the diffusion coefficient may degenerate on some subsets of the domain.

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: 2013
• Tom: 61
• Numer: 1
• Strony: 79-85

Daty

wydano

2013

Twórcy

autor

Alina Semrau-Giłka

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

Identyfikatory

DOI

10.4064/ba61-1-9