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

Alina Semrau. "Euler's Approximations of Weak Solutions of Reflecting SDEs with Discontinuous Coefficients." Bulletin of the Polish Academy of Sciences. Mathematics 55.2 (2007): 171-182. <http://eudml.org/doc/280175>.

@article{AlinaSemrau2007,
abstract = {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.},
author = {Alina Semrau},
journal = {Bulletin of the Polish Academy of Sciences. Mathematics},
keywords = {stochastic differential equation; reflecting boundary condition; Skorokhod problem},
language = {eng},
number = {2},
pages = {171-182},
title = {Euler's Approximations of Weak Solutions of Reflecting SDEs with Discontinuous Coefficients},
url = {http://eudml.org/doc/280175},
volume = {55},
year = {2007},
}

TY - JOUR
AU - Alina Semrau
TI - Euler's Approximations of Weak Solutions of Reflecting SDEs with Discontinuous Coefficients
JO - Bulletin of the Polish Academy of Sciences. Mathematics
PY - 2007
VL - 55
IS - 2
SP - 171
EP - 182
AB - 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.
LA - eng
KW - stochastic differential equation; reflecting boundary condition; Skorokhod problem
UR - http://eudml.org/doc/280175
ER -