Wong–Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces

Author:

Aida Shigeki,Sasaki Kosuke

Funder

Grant-in-Aid for Scientific Research

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference16 articles.

1. Gaussian measures;Bogachev,1998

2. Differential equations driven by rough paths: an approach via discrete approximations;Davie;Appl. Math. Res. Express. AMRX,2007

3. Support d’un processus de réflexion;Doss;Z. Wahrsch. Verw. Gebiete,1982

4. On Lipschitz continuity of the solution mapping to the Skorokhod problem, with applications;Dupuis;Stochastics Stochastics Rep.,1991

5. An approximation scheme for reflected stochastic differential equations;Evans;Stochastic Process. Appl.,2011

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