Title of article
Wong–Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces
Author/Authors
Aida، نويسنده , , Shigeki and Sasaki، نويسنده , , Kosuke، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2013
Pages
28
From page
3800
To page
3827
Abstract
In this paper, we study the Wong–Zakai approximation of the solution to the stochastic differential equation on a domain D in a Euclidean space with normal reflection at the boundary. We prove the L p convergence of the approximation in C ( [ 0 , T ] → D ̄ ) under some general conditions on D .
Keywords
Reflecting stochastic differential equation , Wong–Zakai approximation , Strong convergence
Journal title
Stochastic Processes and their Applications
Serial Year
2013
Journal title
Stochastic Processes and their Applications
Record number
1579092
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