Wong-Zakai approximations for reflecting stochastic differential equations

被引：18

作者：

Pettersson, R ^{[1
]}

机构：

[1] Univ Lund, Dept Math Stat, S-22100 Lund, Sweden

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 1999年 / 17卷 / 04期

关键词：

differential inclusions; stochastic differential equations; reflections; Skorohod problem;

D O I：

10.1080/07362999908809624

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

The 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.

引用

页码：609 / 617

页数：9

共 12 条

[1] WEAK SOLUTIONS TO EQUATIONS OF EVOLUTION IN HILBERT SPACE [J].