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Strong Convergence of Wong-Zakai Approximations of Reflected SDEs in a Multidimensional General Domain

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Abstract

In this paper, we obtain the strong convergence of Wong-Zakai approximations of reflected SDEs in a general multidimensional domain giving an affirmative answer to the question posed by Evans and Stroock (Stoch. Process. Appl. 121, 1464–1491, 2011).

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  1. School of Mathematics, University of Manchester, Oxford Road, Manchester, M13 9PL, England, UK

    Tusheng Zhang

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  1. Tusheng Zhang
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Correspondence to Tusheng Zhang.

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Zhang, T. Strong Convergence of Wong-Zakai Approximations of Reflected SDEs in a Multidimensional General Domain. Potential Anal 41, 783–815 (2014). https://doi.org/10.1007/s11118-014-9394-9

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  • DOI: https://doi.org/10.1007/s11118-014-9394-9

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