On approximation of solutions of multidimensional SDE's with reflecting boundary conditions

Let D be either a convex domain in d or a domain satisfying the conditions (A) and (B) considered by Lions and Sznitman [7] and Saisho [11]. We estimate the rate of Lp convergence for Euler and Euler-Peano schemes for stochastic differential equations in D with normal reflection at the boundary of the form , where W is a d-dimensional Wiener process. As a consequence we give the rate of almost sure convergence for these schemes.

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Year of publication:	1994
Authors:	Slominski, Leszek
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 50.1994, 2, p. 197-219
Publisher:	Elsevier
Keywords:	stochastic differential equations reflecting boundary strong solutions rate of Lp convergence almost sure convergence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008875082