Weak and strong approximations of reflected diffusions via penalization methods
DOI10.1016/j.spa.2012.10.006zbMath1262.60081arXiv1206.7063OpenAlexW1984428484MaRDI QIDQ1940231
Publication date: 6 March 2013
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1206.7063
rate of convergencereflected diffusionsstrong approximationsweak approximationspenalized stochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Ordinary differential equations and systems with randomness (34F05) Functional limit theorems; invariance principles (60F17)
Related Items (12)
This page was built for publication: Weak and strong approximations of reflected diffusions via penalization methods