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

Abstract

The strong convergence of Wong-Zakai approximations of the solution to the reflecting stochastic differential equations was studied in [2]. We continue the study and prove the strong convergence under weaker assumptions on the domain.

arXiv commentTo appear in "Stochastic Analysis and Applications 2014-In Honour of Terry Lyons", Springer Proceedings in Mathematics and Statistics

References in corpus (1)

• Reflected rough differential equations

Cited by in corpus (1)

• Penalization of Reflected SDEs and Neumann Problems of HJB Equations