Approximation Theorems For Reflected Stochastic Differential Equations

2019/09/10 by Wang, Sheng
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1909.04316

Abstract

In this paper we prove a general approximation result for reflected stochastic differential equations in bounded domains satisfying conditions reorganized by Ren and Wu. Then we show that it includes Wong-Zakai approximation, mollifier approximation, etc.

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