Euler's Approximations of Weak Solutions of Reflecting SDEs with Discontinuous Coefficients
Alina Semrau
Bulletin of the Polish Academy of Sciences. Mathematics, Tome 55 (2007), p. 171-182 / Harvested from The Polish Digital Mathematics Library
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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.

Publié le : 2007-01-01
EUDML-ID : urn:eudml:doc:280175 
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Alina Semrau. Euler's Approximations of Weak Solutions of Reflecting SDEs with Discontinuous Coefficients. Bulletin of the Polish Academy of Sciences. Mathematics, Tome 55 (2007) pp. 171-182. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-ba55-2-8/