IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v88y2000i1p125-134.html
   My bibliography  Save this article

Projection scheme for stochastic differential equations with convex constraints

Author

Listed:
  • Pettersson, Roger

Abstract

A numerical scheme for stochastic differential equations with convex constraints is considered. The solutions to the SDEs are constrained to the domain of convex lower semicontinuous function through a multivalued monotone drift component and a variational inequality. The projection scheme is a time discrete version of the constrained SDE. In the particular case when the constraining function is an indicator of a closed convex domain, the SDE is reflected. Previous convergence results for the projection scheme applied to reflected SDEs are recovered.

Suggested Citation

  • Pettersson, Roger, 2000. "Projection scheme for stochastic differential equations with convex constraints," Stochastic Processes and their Applications, Elsevier, vol. 88(1), pages 125-134, July.
    • Handle: RePEc:eee:spapps:v:88:y:2000:i:1:p:125-134
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4149(99)00121-0
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Pettersson, Roger, 1995. "Approximations for stochastic differential equations with reflecting convex boundaries," Stochastic Processes and their Applications, Elsevier, vol. 59(2), pages 295-308, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Wu, Jing & Zhang, Hua, 2013. "Penalization schemes for multi-valued stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 83(2), pages 481-492.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Semrau-Giłka, Alina, 2015. "On approximation of solutions of one-dimensional reflecting SDEs with discontinuous coefficients," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 315-321.
    2. Mei, Hongwei & Yin, George, 2015. "Convergence and convergence rates for approximating ergodic means of functions of solutions to stochastic differential equations with Markov switching," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 3104-3125.
    3. Kanagawa S. & Saisho Y., 2000. "Strong Approximation of Reflecting Brownian Motion Using Penalty Method and its Application to Cumputer Simulation," Monte Carlo Methods and Applications, De Gruyter, vol. 6(2), pages 105-114, December.
    4. Słomiński, Leszek, 2013. "Weak and strong approximations of reflected diffusions via penalization methods," Stochastic Processes and their Applications, Elsevier, vol. 123(3), pages 752-763.
    5. Rytis Kazakevicius & Aleksejus Kononovicius & Bronislovas Kaulakys & Vygintas Gontis, 2021. "Understanding the nature of the long-range memory phenomenon in socioeconomic systems," Papers 2108.02506, arXiv.org, revised Aug 2021.
    6. Slominski, Leszek, 2001. "Euler's approximations of solutions of SDEs with reflecting boundary," Stochastic Processes and their Applications, Elsevier, vol. 94(2), pages 317-337, August.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:88:y:2000:i:1:p:125-134. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.