Approximation of solutions of SDE's with oblique reflection on an orthant

• Autorzy: Czarkowski K. , Słomiński L.
• Języki publikacji: EN

Abstrakty

EN

We consider the discrete penalization scheme, the projection and the Euler-Peano scheme for SDE’s driven by general semimartingale on an orthant with oblique reflection. We prove that these schemes converge in probability to the solution of the SDE in various topologies provided that the oblique reflection satisfies theassumption introduced by Harrison and Reiman. In the case where the driving semimartingale is an Itô process, the rate of L^p-convergence is discussed in detail.

Słowa kluczowe

EN

Euler-Peano scheme; theassumption by Harrison; theassumption by Reiman

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2002
• Tom: Vol. 22, Fasc. 1
• Strony: 29--49
• Opis fizyczny: Biblogr. 30 poz.

Twórcy

autor

Czarkowski K.

• Faculty of Mathematics and Computer Science, Nicholas Copernicus University, ul. Chopina 12/18, 87-100 Toruń, Poland

autor

Słomiński L.

• Faculty of Mathematics and Computer Science, Nicholas Copernicus University, ul. Chopina 12/18, 87-100 Toruń, Poland

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