2013年10月
Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
- ,
- 巻
- 123
- 号
- 10
- 開始ページ
- 3800
- 終了ページ
- 3827
- 記述言語
- 英語
- 掲載種別
- 研究論文（学術雑誌）
- DOI
- 10.1016/j.spa.2013.05.004
- 出版者・発行元
- ELSEVIER SCIENCE BV
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) over bar) under some general conditions on D. (C) 2013 Elsevier B.V. All rights reserved.
- リンク情報
- ID情報
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- DOI : 10.1016/j.spa.2013.05.004
- ISSN : 0304-4149
- Web of Science ID : WOS:000323805200007