Approximating diffusion reflections at elastic boundaries

DOI10.1214/18-ECP141zbMATH Open1394.60023arXiv1710.06342MaRDI QIDQ1663750FDOQ1663750

Dirk Becherer, Peter Frentrup, Todor Bilarev

Publication date: 23 August 2018

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: We show a probabilistic functional limit result for one-dimensional diffusion processes that are reflected at an elastic boundary which is a function of the reflection local time. Such processes are constructed as limits of a sequence of diffusions which are discretely reflected by small jumps at an elastic boundary, with reflection local times being approximated by $varepsilon$-step processes. The construction yields the Laplace transform of the inverse local time for reflection. Processes and approximations of this type play a role in finite fuel problems of singular stochastic control.

Full work available at URL: https://arxiv.org/abs/1710.06342

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zbMATH Keywords

Laplace transformreflected diffusionelastic boundaryinverse local time

Mathematics Subject Classification ID

Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) Boundary theory for Markov processes (60J50) Local time and additive functionals (60J55) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (3)

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• Diffusion approximation for a class of transport processes with physical reflection boundary conditions
• A Langevin process reflected at a partially elastic boundary. I

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