Penalty method for obliquely reflected diffusions (Q2058439): Difference between revisions

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+Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces
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+Atlas models of equity markets
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+Some potential theory for reflecting Brownian motion in Hölder and Lipschitz domains
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+Penalty method for reflected diffusions on the half-line
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+Multivalued Skorohod problem
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+DIFFUSION APPROXIMATION FOR TRANSPORT PROCESSES WITH GENERAL REFLECTION BOUNDARY CONDITIONS
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+The Skorohod oblique reflection problem in domains with corners and application to stochastic differential equations
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+On lipschitz continuity of the solution mapping to the skorokhod problem, with applications
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+SDEs with oblique reflection on nonsmooth domains
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+An approximation scheme for reflected stochastic differential equations
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+Shorter Notes: Regularity of the Distance Function
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+Stochastic differential equations on domains defined by multiple constraints
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+Construction and decomposition of reflecting diffusions on Lipschitz domains with Hölder cusps
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+Reflected Brownian motion on an orthant
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+Brownian models of open queueing networks with homogeneous customer populations<sup>∗</sup>
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+An invariance principle for semimartingale reflecting Brownian motions in domains with piecewise smooth boundaries
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+Reflected solutions of backward SDE's, and related obstacle problems for PDE's
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+Reflected BSDEs in time-dependent convex regions
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+Distance to \(C^k\) hypersurfaces
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+Scaling limit of a limit order book model via the regenerative characterization of Lévy trees
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+Penalization methods for reflecting stochastic differential equations with jumps
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+Penalization methods for the Skorokhod problem and reflecting SDEs with jumps
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+Stochastic differential equations with reflecting boundary conditions
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+Reflected diffusion processes with jumps
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+Product-form invariant measures for Brownian motion with drift satisfying a skew-symmetry type condition
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+Symmetric reflected diffusions
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+Approximations for stochastic differential equations with reflecting convex boundaries
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+Penalization schemes for reflecting stochastic differential equations
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+Wong-zaksi approximations for reflecting stochastic differential equations
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+Properties of the Flows Generated by Stochastic Equations with Reflection
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+Diffusion Processes with Generalized Drift Coefficients
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+Stochastic Differential Equations with Generalized Drift Vector
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+\(\mathbb L^p\) solutions of reflected BSDEs under monotonicity condition
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+On a class of diverse market models
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+Triple and simultaneous collisions of competing Brownian particles
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+Weak convergence of obliquely reflected diffusions
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+Infinite systems of competing Brownian particles
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+Stochastic Equations for Diffusion Processes in a Bounded Region. II
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+Weak and strong approximations of reflected diffusions via penalization methods
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+On Wong-Zakai type approximations of reflected diffusions
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+Stochastic differential equations with a convex constraint
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+Diffusion processes with boundary conditions
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+Stochastic differential equations with reflecting boundary condition in convex regions
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+On stochastic differential equations for multi-dimensional diffusion processes with boundary conditions
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+Reflected Brownian motion with skew symmetric data in a polyhedral domain
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+On reflecting Brownian motion - a weak convergence approach
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