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Penalization schemes for reflecting stochastic differential equations. (English) Zbl 0899.60053

This paper deals with discrete penalization schemes for reflecting stochastic differential equations. The author investigates the Euler approximation for the penalizing stochastic differential equations and obtains fine convergence results. He also compares the penalization scheme with the recursive projection scheme.
Reviewer: M.Nisio (Osaka)

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
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