TY - JOUR
T1 - Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces
AU - Aida, Shigeki
AU - Sasaki, Kosuke
N1 - Funding Information:
The first author’s research was partially supported by Grant-in-Aid for Scientific Research (B) No. 24340023 . The authors would like to thank the referee for the valuable comments and suggestions which improved the quality of the paper.
PY - 2013
Y1 - 2013
N2 - In this paper, we study the Wong-Zakai approximation of the solution to the stochastic differential equation on a domain D in a Euclidean space with normal reflection at the boundary. We prove the Lp convergence of the approximation in C([0,T]→D̄) under some general conditions on D.
AB - In this paper, we study the Wong-Zakai approximation of the solution to the stochastic differential equation on a domain D in a Euclidean space with normal reflection at the boundary. We prove the Lp convergence of the approximation in C([0,T]→D̄) under some general conditions on D.
KW - Reflecting stochastic differential
KW - Wong-Zakai approximation
KW - equation Strong convergence
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U2 - 10.1016/j.spa.2013.05.004
DO - 10.1016/j.spa.2013.05.004
M3 - Article
AN - SCOPUS:84879965643
SN - 0304-4149
VL - 123
SP - 3800
EP - 3827
JO - Stochastic Processes and their Applications
JF - Stochastic Processes and their Applications
IS - 10
ER -