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Some remarks on approximation of solutions of SDE's with reflecting boundary conditions

✍ Scribed by Leszek Słomiński

Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
372 KB
Volume
38
Category
Article
ISSN
0378-4754

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✦ Synopsis

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.

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