Reflected diffusion processes with jumps (Q1058780)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Reflected diffusion processes with jumps |
scientific article |
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Reflected diffusion processes with jumps (English)
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1985
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In this paper, the authors study the question of building solutions of stochastic differential equations with reflecting boundary conditions, corresponding to reflected diffusion processes with jumps. To do so, they adapt to the case of jump processes the penalty argument used by many authors.
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reflecting boundary conditions
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reflected diffusion processes with jumps
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penalty argument
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