Approximation Theorems For Reflected Stochastic Differential Equations

Sheng Wang

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arXiv · 1909.04316

Approximation Theorems For Reflected Stochastic Differential Equations

Sheng Wang

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Abstract

In this paper we prove a general approximation result for reflected stochastic differential equations in bounded domains satisfying conditions reorganized by Ren and Wu. Then we show that it includes Wong-Zakai approximation, mollifier approximation, etc.

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Sheng Wang. 2019-09-10. Approximation Theorems For Reflected Stochastic Differential Equations. https://arxiv.org/abs/1909.04316

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