Penalty method for reflected diffusions on the half-line

DOI10.1080/17442508.2016.1249872MaRDI QIDQ2974874zbMATH OpenOpenAlexFDO

Authors Cameron Bruggeman, Andrey Sarantsev

Publication date 11 April 2017

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.01776

zbMATH Keywords

penalty methodreflected Brownian motionreflected diffusionscale functionstochastic differential equationweak convergence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Abstract: Consider a reflected diffusion on the positive half-line. We approximate it by solutions of stochastic differential equations using the penalty method: We emulate the "hard barrier" of reflection by a "soft barrier" of a large drift coefficient, which compells the diffusion to return to the positive half-line. The main tool of the proof is convergence of scale functions.

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Cited in

(5)

• Weak and strong approximations of reflected diffusions via penalization methods
• Penalty method for obliquely reflected diffusions
• Stationary distributions and convergence for Walsh diffusions
• Boundary approximation for sticky jump-reflected processes on the half-line
• A penalization limit theorem for the boundary local time of a reflected diffusion

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