Some remarks on boundary value problems for linear stochastic differential equations
Antoni L. Dawidowicz, Krystyna Twardowska (1988)
Rendiconti del Seminario Matematico della Università di Padova
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Displaying similar documents to “Euler's Approximations of Weak Solutions of Reflecting SDEs with Discontinuous Coefficients”
Some remarks on boundary value problems for linear stochastic differential equations
On the discretization in time of parabolic stochastic partial differential equations
Jacques Printems (2010)
ESAIM: Mathematical Modelling and Numerical Analysis
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We first generalize, in an abstract framework, results on the order of convergence of a semi-discretization in time by an implicit Euler scheme of a stochastic parabolic equation. In this part, all the coefficients are globally Lipchitz. The case when the nonlinearity is only locally Lipchitz is then treated. For the sake of simplicity, we restrict our attention to the Burgers equation. We are not able in this case to compute a pathwise order of the approximation, we introduce the...
Stability of stochastic differential equations driven by general semimartingales
Słomiński Leszek
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CONTENTS Introduction........................................................................................................5 0. Announcement of results...............................................................................7 1. Condition (UT).............................................................................................18 2. Weak convergence of solutions...................................................................26 ...