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We study Lp 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.
Wydawca
Rocznik
Tom
Strony
169--180
Opis fizyczny
Bibliogr. 19 poz.
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autor
- Institute of Mathematics and Physics, University of Technology and Life Sciences, Kaliskiego 7, 85-796 Bydgoszcz, Poland, alucha@utp.edu.pl
Bibliografia
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- N. V. Krylov (1982), Controlled Diffusion Processes, Springer, New York.
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- T. S. Zhang (1994), On the strong solutions of one-dimensional stochastic differential equations with reflecting boundary, Stochastic Process. Appl. 50, 135-147.
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Bibliografia
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bwmeta1.element.baztech-article-BAT5-0040-0021