On reflected Stratonovich stochastic differential equations

被引：3

作者：

Slominski, Leszek ^{[1
]}

机构：

[1] Nicholas Copernicus Univ, Fac Math & Comp Sci, PL-87100 Torun, Poland

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2015年 / 125卷 / 02期

关键词：

Reflected stochastic differential equation; Stratonovich stochastic differential equation; Wong-Zakai type approximation; WONG-ZAKAI APPROXIMATIONS; MULTIDIMENSIONAL SDES; CONVERGENCE; STABILITY; EXISTENCE; INTEGRALS; SUPPORT; DRIVEN;

D O I：

10.1016/j.spa.2014.10.003

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study the problem of existence, uniqueness and approximation of solutions of finite dimensional Stratonovich stochastic differential equations with reflecting boundary condition driven by semimartingales with jumps. As an application we generalize known results on the Wong-Zakai type approximations. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：759 / 779

页数：21

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