On reflected Stratonovich stochastic differential equations
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DOI: 10.1016/j.spa.2014.10.003
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References listed on IDEAS
- Zhang, Tu-Sheng, 1994. "On the strong solutions of one-dimensional stochastic differential equations with reflecting boundary," Stochastic Processes and their Applications, Elsevier, vol. 50(1), pages 135-147, March.
- Evans, Lawrence Christopher & Stroock, Daniel W., 2011. "An approximation scheme for reflected stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1464-1491, July.
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Keywords
Reflected stochastic differential equation; Stratonovich stochastic differential equation; Wong–Zakai type approximation;All these keywords.
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