On approximations of the Euler-Peano scheme for multivalued stochastic differential equations

Abstract

ABSTRACTIt is known that a unique strong solution exists for multivalued stochastic differential equations under the Lipschitz continuity and linear growth conditions. In this paper we apply the Euler-Peano scheme to show that existence of weak solution and pathwise uniqueness still hold when the coefficients are random and satisfy one-sided locally Lipschitz continuous and an integral condition (i.e. Krylov's conditions put forward in On Kolmogorov's equations for finite-dimensional diffusions, Stochastic PDE's and Kolmogorov Equations in Infinite Dimensions (Cetraro, 1998), Lecture Notes in Math., 1715, Springer, Berlin, 1999, pp. 1–63). When the coefficients are nonrandom and possibly discontinuous but only satisfy some integral conditions, the sequence of solutions of the Euler-Peano scheme converges weakly, and the limit is a weak solution of the corresponding MSDE. As a particular case, we obtain a global semi-flow for stochastic differential equations reflected in closed, convex domains.