Euler's Approximations of Weak Solutions of Reflecting SDEs with Discontinuous Coefficients
Volume 55 / 2007
Bulletin Polish Acad. Sci. Math. 55 (2007), 171-182
MSC: 60H20, 60H99, 60F17.
DOI: 10.4064/ba55-2-8
Abstract
We study convergence in law for the Euler and Euler–Peano schemes for stochastic differential equations reflecting on the boundary of a general convex domain. We assume that the coefficients are measurable and continuous almost everywhere with respect to the Lebesgue measure. The proofs are based on new estimates of Krylov's type for the approximations considered.
