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Weak approximation of obliquely reflected diffusions in time-dependent domains.
2010 (English)In: Journal of Computational Mathematics, ISSN 0254-9409, E-ISSN 1991-7139, Vol. 28, no 5, 579-605 p.Article in journal (Refereed) Published
Abstract [en]

In an earlier paper, we proved the existence of solutions to the Skorohod problem with oblique reflection in time-dependent domains and, subsequently, applied this result to the problem of constructing solutions, in time-dependent domains, to stochastic differential equations with oblique reflection. In this paper we use these results to construct weak approximations of solutions to stochastic differential equations with oblique reflection, in time-dependent domains in R-d, by means of a projected Euler scheme. We prove that the constructed method has, as is the case for normal reflection and time-independent domains, an order of convergence equal to 1/2 and we evaluate the method empirically by means of two numerical examples. Furthermore, using a well-known extension of the Feynman-Kac formula, to stochastic differential equations with reflection, our method gives, in addition, a Monte Carlo method for solving second order parabolic partial differential equations with Robin boundary conditions in time-dependent domains.

Place, publisher, year, edition, pages
2010. Vol. 28, no 5, 579-605 p.
Keyword [en]
Monte Carlo method; Oblique reflection; Parabolic partial differential equations; Projected Euler scheme; Robin boundary conditions; Skorohod problem; Stochastic differential equations; Time-dependent domain; Weak approximation
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-203800DOI: 10.4208/jcm.1003-m2957ISI: 000281879100002Scopus ID: 2-s2.0-77957801235OAI: oai:DiVA.org:kth-203800DiVA: diva2:1082595
Note

QC 20170405

Available from: 2017-03-17 Created: 2017-03-17 Last updated: 2017-11-29Bibliographically approved

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  • de-DE
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  • en-US
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  • nn-NO
  • nn-NB
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  • Other locale
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Output format
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  • asciidoc
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