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

Alina Semrau-Giłka. "Euler's Approximations of Solutions of Reflecting SDEs with Discontinuous Coefficients." Bulletin of the Polish Academy of Sciences. Mathematics 61.1 (2013): 79-85. <http://eudml.org/doc/281318>.

@article{AlinaSemrau2013,
abstract = {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.},
author = {Alina Semrau-Giłka},
journal = {Bulletin of the Polish Academy of Sciences. Mathematics},
keywords = {stochastic differential equation; reflecting boundary condition; Skorokhod problem},
language = {eng},
number = {1},
pages = {79-85},
title = {Euler's Approximations of Solutions of Reflecting SDEs with Discontinuous Coefficients},
url = {http://eudml.org/doc/281318},
volume = {61},
year = {2013},
}

TY - JOUR
AU - Alina Semrau-Giłka
TI - Euler's Approximations of Solutions of Reflecting SDEs with Discontinuous Coefficients
JO - Bulletin of the Polish Academy of Sciences. Mathematics
PY - 2013
VL - 61
IS - 1
SP - 79
EP - 85
AB - 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.
LA - eng
KW - stochastic differential equation; reflecting boundary condition; Skorokhod problem
UR - http://eudml.org/doc/281318
ER -