Geodesic
Discrete Approximations of Strong Solutions of Reflecting SDEs with Discontinuous Coefficients
Alina Semrau1
1 Institute of Mathematics and Physics University of Technology and Life Sciences Kaliskiego 7 85-796 Bydgoszcz, Poland
Bulletin of the Polish Academy of Sciences. Mathematics, Tome 57 (2009) no. 2, pp. 169-180

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We study ${L}^p$ convergence for the Euler scheme for stochastic differential equations reflecting on the boundary of a general convex domain $D\subseteq\mathbb{R}^d$. 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 $D=[0,\infty)$ new sufficient conditions ensuring pathwise uniqueness for equations with possibly discontinuous coefficients are given.
DOI : 10.4064/ba57-2-10
Keywords: study convergence euler scheme stochastic differential equations reflecting boundary general convex domain subseteq mathbb assume equation has pathwise uniqueness property its coefficients measurable continuous almost everywhere respect lebesgue measure infty sufficient conditions ensuring pathwise uniqueness equations possibly discontinuous coefficients given

Alina Semrau 1

1 Institute of Mathematics and Physics University of Technology and Life Sciences Kaliskiego 7 85-796 Bydgoszcz, Poland 
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Alina Semrau. Discrete Approximations of Strong Solutions of
Reflecting SDEs with Discontinuous Coefficients. Bulletin of the Polish Academy of Sciences. Mathematics, Tome 57 (2009) no. 2, pp. 169-180. doi: 10.4064/ba57-2-10

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