Electronic Journal of Probability

On Wong-Zakai type approximations of reflected diffusions

Leszek Slominski

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Abstract

We study weak and strong convergence of Wong-Zakai type approximations  of reflected stochastic differential equations on general domains satisfying the conditions (A) and (B)introduced by Lions and Sznitman. We assume that the diffusion coefficient is Lipschitz continuous but the drift coefficient need not be even continuous. In the case  where the  drift coefficient is also Lipschitz continuous we show that the rate of convergence is exactly the same as for usual Euler type approximation.

Article information

Source
Electron. J. Probab., Volume 19 (2014), paper no. 118, 15 pp.

Dates
Accepted: 19 December 2014
First available in Project Euclid: 4 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ejp/1465065760

Digital Object Identifier
doi:10.1214/EJP.v19-3425

Mathematical Reviews number (MathSciNet)
MR3296534

Zentralblatt MATH identifier
1325.60097

Subjects
Primary: 60H20: Stochastic integral equations
Secondary: 60G17: Sample path properties

Keywords
Reflected diffusion Wong-Zakai type approximation

Rights
This work is licensed under a Creative Commons Attribution 3.0 License.

Citation

Slominski, Leszek. On Wong-Zakai type approximations of reflected diffusions. Electron. J. Probab. 19 (2014), paper no. 118, 15 pp. doi:10.1214/EJP.v19-3425. https://projecteuclid.org/euclid.ejp/1465065760


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