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arXiv · 1301.4023

Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces

Shigeki Aida·Kosuke Sasaki
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Abstract

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 $L^p$ convergence of the approximation in $C([0,T]\to \bar{D})$ under some general conditions on $D$.

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Shigeki Aida, Kosuke Sasaki. 2013-05-24. Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces. https://arxiv.org/abs/1301.4023

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