Approximating diffusion reflections at elastic boundaries
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Publication:1663750
DOI10.1214/18-ECP141zbMath1394.60023arXiv1710.06342MaRDI QIDQ1663750
Dirk Becherer, Peter Frentrup, Todor Bilarev
Publication date: 23 August 2018
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1710.06342
Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30) Functional limit theorems; invariance principles (60F17) Local time and additive functionals (60J55) Boundary theory for Markov processes (60J50)
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