Strong approximations for stochastic differential equations with boundary conditions

Marco Ferrante, Arturo Kohatsu-Higa and Marta Sanz-Solé

Stochastic Processes and their Applications, 1996, vol. 61, issue 2, 323-337

Abstract: We study the Euler approximation scheme for solutions of stochastic differential equations with boundary conditions in two different examples: (a) the one-dimensional case with linear boundary condition, and (b) the multidimensional case with constant diffusion coefficient and general boundary condition. In both cases the error is measured in the Lp-norm.

Keywords: Stochastic; differential; equations; with; boundary; conditions; Numerical; approximations; 60H99; 34B10; 34B15; 65Nxx (search for similar items in EconPapers)
Date: 1996
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