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✦   LIBER   ✦

On stability and existence of solutions of SDEs with reflection at the boundary

✍ Scribed by Andrzej Rozkosz; Leszek Słomiński

Book ID
108432968
Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
1018 KB
Volume
68
Category
Article
ISSN
0304-4149

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📜 SIMILAR VOLUMES

Some remarks on approximation of solutio
Some remarks on approximation of solutions of SDE's with reflecting boundary conditions
✍ Leszek Słomiński 📂 Article 📅 1995 🏛 Elsevier Science 🌐 English ⚖ 372 KB

Let D be either a convex domain in ~a or a domain satisfying the conditions (A) and (B) considered by and . We estimate the rate of convergence for Euler scheme for stochastic differential e~luations in D with normal reflection at the boundary of the form where W is a d-dimensional Wiener process.

On Global Existence of Solutions of SDE'
On Global Existence of Solutions of SDE's with Singular Drift
✍ Rainer Höhnle 📂 Article 📅 1996 🏛 John Wiley and Sons 🌐 English ⚖ 741 KB

## Abstract Let __b__ be a Borel measurable IR^d^ ‐ valued function, defined on some Borel subset of IR^d^. Consider the __d‐__ dimensional SDEmagnified imagewith singular drift __b__. A local solution (up to σ) is a tuple (__X, W__, Q,σ) where __X__ is a stochastic process, __W__ is a Brownian mot