We study 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.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-ba57-2-10,
author = {Alina Semrau},
title = {Discrete Approximations of Strong Solutions of Reflecting SDEs with Discontinuous Coefficients},
journal = {Bulletin of the Polish Academy of Sciences. Mathematics},
volume = {57},
year = {2009},
pages = {169-180},
zbl = {1256.65005},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-ba57-2-10}
}
Alina Semrau. Discrete Approximations of Strong Solutions of Reflecting SDEs with Discontinuous Coefficients. Bulletin of the Polish Academy of Sciences. Mathematics, Tome 57 (2009) pp. 169-180. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-ba57-2-10/