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Approximation of solutions of SDE's with oblique reflection on an orthant
Approximation of solutions SDE oblique reflection an orthant
2009/9/21
We'consider the discrete penalization scheme, the projection
and the Euler-Peano scheme for SDE's driven by general semimartingale
on an orthant with oblique reflection. We prove that these
schemes...
Flows associated to Tanaka's SDE.
A 2-Dimensional SDE Whose Solutions are Not Unique
Stochastic differential equation pathwise uniqueness diffusion process
2009/5/4
In 1971, Yamada and Watanabe showed that pathwise uniqueness holds for the SDE dX= sigma (X)dB when sigma takes values in the n-by-m matrices and satisfies |sigma (x)- sigma (y)| < |x-y|log(1/|x-y|)1/...