Reflected diffusion processes with jumps (Q1058780)
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scientific article; zbMATH DE number 3901773
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| English | Reflected diffusion processes with jumps |
scientific article; zbMATH DE number 3901773 |
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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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0.8247066140174866
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0.8154796361923218
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0.8121868371963501
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