Penalization methods for the Skorokhod problem and reflecting SDEs with jumps (Q2435221)
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| Language | Label | Description | Also known as |
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| English | Penalization methods for the Skorokhod problem and reflecting SDEs with jumps |
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Penalization methods for the Skorokhod problem and reflecting SDEs with jumps (English)
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4 February 2014
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The authors examine the approximation of solutions of the Skorokhod problem when one has reflecting stochastic differential equations with jumps by sequences of solutions of equations having penalization terms. Applications are made to discrete approximations of solutions of reflecting SDEs. The proofs presented rely on new estimates for the solutions of equations having penalization terms.
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penalization methods
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Skorokhod problem
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Jakubowski S-topology
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