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2014 On Wong-Zakai type approximations of reflected diffusions
Leszek Slominski
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Electron. J. Probab. 19: 1-15 (2014). DOI: 10.1214/EJP.v19-3425

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.

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Leszek Slominski. "On Wong-Zakai type approximations of reflected diffusions." Electron. J. Probab. 19 1 - 15, 2014. https://doi.org/10.1214/EJP.v19-3425

Information

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

zbMATH: 1325.60097
MathSciNet: MR3296534
Digital Object Identifier: 10.1214/EJP.v19-3425

Subjects:
Primary: 60H20
Secondary: 60G17

Keywords: Reflected diffusion , Wong-Zakai type approximation

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