Article ID Journal Published Year Pages File Type
1153167 Statistics & Probability Letters 2013 12 Pages PDF
Abstract

In this paper we study the penalization schemes for multi-valued stochastic differential equations driven by standard Brownian motions. Especially, we obtain the rate of the strong mean square convergence of the penalization schemes.

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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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Penalization schemes for multi-valued stochastic differential equations
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