首页   按字顺浏览 期刊浏览 卷期浏览 Wong-zaksi approximations for reflecting stochastic differential equations
Wong-zaksi approximations for reflecting stochastic differential equations

 

作者: Roger Pettersson,  

 

期刊: Stochastic Analysis and Applications  （Taylor Available online 1999）
卷期: Volume 17, issue 4  

页码: 609-617

 

ISSN:0736-2994

 

年代: 1999

 

DOI:10.1080/07362999908809624

 

出版商: Marcel Dekker, Inc.

 

关键词: Differential Inclusions;Stochastic Differential Equations;Reflections;Skorohod Problem

 

数据来源: Taylor

 

摘要:

We show, under convenient conditions, existence of a solution to a stochastic differential equation reflecting on the boundary of a convex set by using Wong-Zakai approximations. This means that solutions of RSDEs can be seen as the limit of solutions of differential inclusions, where the Brownian motion is replaced by its polygonal approximation

 

点击下载:  PDF (226KB)



返 回