Wong–Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces

Shigeki Aida, Kosuke Sasaki

Type: Article

Publication Date: 2013-05-25

Citations: 35

DOI: https://doi.org/10.1016/j.spa.2013.05.004

View Publication

Locations

Stochastic Processes and their Applications - View
arXiv (Cornell University) - View - PDF

Similar Works

Action	Title	Year	Authors
+	Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces	2013	Shigeki Aida Kosuke Sasaki
+ PDF Chat	Wong-Zakai Approximation of Solutions to Reflecting Stochastic Differential Equations on Domains in Euclidean Spaces II	2014	Shigeki Aida
+	Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces II	2014	Shigeki Aida
+ PDF Chat	Strong Convergence of Wong-Zakai Approximations of Reflected SDEs in a Multidimensional General Domain	2014	Tusheng Zhang
+	Strong Convergence of Wong-Zakai Approximations of Reflected SDEs in A Multidimensional General Domain	2013	Tusheng Zhang
+ PDF Chat	From Reflecting Brownian Motion to Reflected Stochastic Differential Equations: A Systematic Survey and Complementary Study	2020	Yunwen Wang Jinfeng Li
+	From Reflecting Brownian Motion to Reflected Stochastic Differential Equations: A Systematic Survey and Complementary Study	2020	Yunwen Wang Jinfeng Li
+ PDF Chat	On Wong-Zakai type approximations of reflected diffusions	2014	Leszek Słomiński
+	Approximation theorems of Wong-Zakai type for stochastic differential equations in infinite dimensions	1993	Krystyna Twardowska
+	Wong–Zakai Approximation for Stochastic Differential Equations Driven by G-Brownian Motion	2020	Shigē Péng Huilin Zhang
+	Wong-Zakai Approximation for SDEs Driven by $G-$Brownian Motion	2015	Shigē Péng Huilin Zhang
+ PDF Chat	Stationary Wong–Zakai Approximation of Fractional Brownian Motion and Stochastic Differential Equations with Noise Perturbations	2022	Lauri Viitasaari Caibin Zeng
+	Wong-Zakai Approximation of Stochastic Partial Differential Equations driven by Poissonian Noise	2007	Erika Hausenblas
+ PDF Chat	NUMERICAL PERFORMANCE OF SOME WONG-ZAKAI TYPE APPROXIMATIONS FOR STOCHASTIC DIFFERENTIAL EQUATIONS	2016	J.A. Londo no Andrés M. Villegas
+	Approximation Theorems For Reflected Stochastic Differential Equations	2019	Sheng Wang
+	Wong-Zakai approximations for stochastic differential equations	1996	Krystyna Twardowska
+	Exact convergence rate of the Wong–Zakai approximation to RDEs driven by Gaussian rough paths	2016	Nobuaki Naganuma
+ PDF Chat	A Wong-Zakai approximation of stochastic differential equations driven by a general semimartingale	2020	Xianming Liu Guangyue Han
+ PDF Chat	Rate of Convergence of Wong–Zakai Approximations for Stochastic Partial Differential Equations	2013	István Gyöngy Pablo Raúl Stinga
+	Wong-Zakai approximation and support theorem for semilinear SPDEs with finite dimensional noise in the whole space	2018	Timur Yastrzhembskiy

Works That Cite This (29)

Action	Title	Year	Authors
+	Wong–Zakai approximations and center manifolds of stochastic differential equations	2017	Jun Shen Kening Lu
+	Probabilistic approach for nonlinear partial differential equations and stochastic partial differential equations with Neumann boundary conditions	2019	Jiagang Ren Jing Wu
+ PDF Chat	Pathwise Uniqueness and Non-explosion Property of Skorohod SDEs with a Class of Non-Lipschitz Coefficients and Non-smooth Domains	2020	Masanori Hino Kouhei Matsuura Misaki Yonezawa
+ PDF Chat	Strong Convergence of Wong-Zakai Approximations of Reflected SDEs in a Multidimensional General Domain	2014	Tusheng Zhang
+	On the equivalence of viscosity and distribution solutions of second-order PDEs with Neumann boundary conditions	2019	Jiagang Ren Jing Wu Mengqi Zheng
+	Approximation Theorems For Reflected Stochastic Differential Equations	2019	Sheng Wang
+ PDF Chat	Reflected rough differential equations	2015	Shigeki Aida
+	On reflected Stratonovich stochastic differential equations	2014	Leszek Słomiński
+	One-dimensional reflected rough differential equations	2018	Aurélien Deya Massimiliano Gubinelli Martina Hofmanová Samy Tindel
+	Continuous Wong–Zakai Approximations of Random Attractors for Quasi-linear Equations with Nonlinear Noise	2020	Yangrong Li Shuang Yang Qiangheng Zhang

Works Cited by This (10)

Action	Title	Year	Authors
+	Local differentiability of distance functions	2000	R. A. Poliquin R. T. Rockafellar Lionel Thibault
+	Stochastic differential equations with reflecting boundary condition in convex regions	1979	Hiroshi Tanaka
+	A transfer principle for multivalued stochastic differential equations	2008	Jiagang Ren Siyan Xu
+	Stochastic differential equations with reflecting boundary conditions	1984	Pierre‐Louis Lions Alain‐Sol Sznitman
+	Support theorem for stochastic variational inequalities	2010	Jiagang Ren Siyan Xu
+	An approximation scheme for reflected stochastic differential equations	2011	L. C. Evans Daniel W. Stroock
+	On the relation between ordinary and stochastic differential equations	1965	Eugene Wong Zakai Moshe
+	On lipschitz continuity of the solution mapping to the skorokhod problem, with applications	1991	Paul Dupuis Hitoshi Ishii
+ PDF Chat	Support d'un processus de r�flexion	1982	Halim Doss Pierre Priouret
+ PDF Chat	Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation	2008	A. M. Davie