Discrete Approximations of Strong Solutions of Reflecting SDEs with Discontinuous Coefficients

Alina Semrau. "Discrete Approximations of Strong Solutions of Reflecting SDEs with Discontinuous Coefficients." Bulletin of the Polish Academy of Sciences. Mathematics 57.2 (2009): 169-180. <http://eudml.org/doc/281349>.

@article{AlinaSemrau2009,
abstract = {We study $L^p$ convergence for the Euler scheme for stochastic differential equations reflecting on the boundary of a general convex domain D ⊆ ℝd. 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.},
author = {Alina Semrau},
journal = {Bulletin of the Polish Academy of Sciences. Mathematics},
language = {eng},
number = {2},
pages = {169-180},
title = {Discrete Approximations of Strong Solutions of Reflecting SDEs with Discontinuous Coefficients},
url = {http://eudml.org/doc/281349},
volume = {57},
year = {2009},
}

TY - JOUR
AU - Alina Semrau
TI - Discrete Approximations of Strong Solutions of Reflecting SDEs with Discontinuous Coefficients
JO - Bulletin of the Polish Academy of Sciences. Mathematics
PY - 2009
VL - 57
IS - 2
SP - 169
EP - 180
AB - We study $L^p$ convergence for the Euler scheme for stochastic differential equations reflecting on the boundary of a general convex domain D ⊆ ℝd. 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.
LA - eng
UR - http://eudml.org/doc/281349
ER -