Approximations for stochastic differential equations with reflecting convex boundaries

Roger Pettersson

Stochastic Processes and their Applications, 1995, vol. 59, issue 2, 295-308

Abstract: We consider convergence of a recursive projection scheme for a stochastic differential equation reflecting on the boundary of a convex domain G. If G satisfies Condition (B) in Tanaka (1979), we obtain mean square convergence, pointwise, with the rate O(([delta]log1/[delta])1/2), and if G is a convex polyhedron we obtain mean square convergence, uniformly on compacts, with the rate O([delta]log1/[delta]). An application is given for stochastic differential equations with hysteretic components.

Keywords: 60H10; 60H20; 60H99; 60F25; Skorohod; problem; Stochastic; differential; equations; Reflections; Numerical; methods (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (7)

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