Euler's approximations of weak solutions of reflecting SDEs with discontinuous coefficients

• Autorzy: Semrau A.
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

stochastic differential equation; reflecting boundary condition; Skorokhod problem

PL

stochastyczne równanie różniczkowe

• Wydawca: Instytut Matematyczny PAN
• Czasopismo: Bulletin of the Polish Academy of Sciences. Mathematics
• Rocznik: 2007
• Tom: Vol. 55, no 2
• Strony: 171--182
• Opis fizyczny: Bibliogr. 16 poz.

Twórcy

autor

Semrau A.

• Institute of Mathematics and Physics, University of Technology and Agriculture, Kaliskiego 7, 85-796 Bydgoszcz, Poland,

Bibliografia

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