Geodesic
Euler's Approximations of Weak Solutions of Reflecting SDEs with Discontinuous Coefficients
Alina Semrau1
1 Institute of Mathematics and Physics University of Technology and Agriculture Kaliskiego 7 85-796 Bydgoszcz, Poland
Bulletin of the Polish Academy of Sciences. Mathematics, Tome 55 (2007) no. 2, pp. 171-182.

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

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.
DOI : 10.4064/ba55-2-8
Keywords: study convergence law euler euler peano schemes stochastic differential equations reflecting boundary general convex domain assume coefficients measurable continuous almost everywhere respect lebesgue measure proofs based estimates krylovs type approximations considered

Alina Semrau 1

1 Institute of Mathematics and Physics University of Technology and Agriculture Kaliskiego 7 85-796 Bydgoszcz, Poland 
@article{10_4064_ba55_2_8,
     author = {Alina Semrau},
     title = {Euler's {Approximations} of {Weak} {Solutions} of {Reflecting} {SDEs
with} {Discontinuous} {Coefficients}},
     journal = {Bulletin of the Polish Academy of Sciences. Mathematics},
     pages = {171--182},
     publisher = {mathdoc},
     volume = {55},
     number = {2},
     year = {2007},
     doi = {10.4064/ba55-2-8},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.4064/ba55-2-8/}
}
TY  - JOUR
AU  - Alina Semrau
TI  - Euler's Approximations of Weak Solutions of Reflecting SDEs
with Discontinuous Coefficients
JO  - Bulletin of the Polish Academy of Sciences. Mathematics
PY  - 2007
SP  - 171
EP  - 182
VL  - 55
IS  - 2
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.4064/ba55-2-8/
DO  - 10.4064/ba55-2-8
LA  - en
ID  - 10_4064_ba55_2_8
ER  - 
%0 Journal Article
%A Alina Semrau
%T Euler's Approximations of Weak Solutions of Reflecting SDEs
with Discontinuous Coefficients
%J Bulletin of the Polish Academy of Sciences. Mathematics
%D 2007
%P 171-182
%V 55
%N 2
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.4064/ba55-2-8/
%R 10.4064/ba55-2-8
%G en
%F 10_4064_ba55_2_8
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) no. 2, pp. 171-182. doi : 10.4064/ba55-2-8. http://geodesic.mathdoc.fr/articles/10.4064/ba55-2-8/

Cité par Sources :