Projection scheme for stochastic differential equations with convex constraints

Roger Pettersson

Stochastic Processes and their Applications, 2000, vol. 88, issue 1, 125-134

Abstract: A numerical scheme for stochastic differential equations with convex constraints is considered. The solutions to the SDEs are constrained to the domain of convex lower semicontinuous function through a multivalued monotone drift component and a variational inequality. The projection scheme is a time discrete version of the constrained SDE. In the particular case when the constraining function is an indicator of a closed convex domain, the SDE is reflected. Previous convergence results for the projection scheme applied to reflected SDEs are recovered.

Keywords: Stochastic; differential; equations; Variational; inequalities; Numerical; methods (search for similar items in EconPapers)
Date: 2000
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