Strong approximations for stochastic differential equations with boundary conditions
We study the Euler approximation scheme for solutions of stochastic differential equations with boundary conditions in two different examples: (a) the one-dimensional case with linear boundary condition, and (b) the multidimensional case with constant diffusion coefficient and general boundary condition. In both cases the error is measured in the Lp-norm.
Year of publication: |
1996
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Authors: | Ferrante, Marco ; Kohatsu-Higa, Arturo ; Sanz-Solé, Marta |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 61.1996, 2, p. 323-337
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Publisher: |
Elsevier |
Keywords: | Stochastic differential equations with boundary conditions Numerical approximations 60H99 34B10 34B15 65Nxx |
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