Fast approximation of solutions of SDE's with oblique reflection on an orthant

Details Fast approximation of solutions of SDE's with oblique reflection on an orthant Fast approximation of solutions of SDE's with oblique reflection on an orthant

2008-12-02

arxiv.org/abs/0812.0619v1

Mathematics

Probability

Scientific paper

We consider the discrete "fast" penalization scheme for SDE's driven by
general semimartingale on orthant $\mathbb{R}_{+}^{d}$ with oblique reflection.

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