Penalty method for obliquely reflected diffusions
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Publication:2058439
DOI10.1007/s10986-021-09542-9OpenAlexW3204145203MaRDI QIDQ2058439
Publication date: 9 December 2021
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1509.01777
stochastic differential equationweak convergencepenalty methodoblique reflectionreflected Brownian motionreflected diffusion
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60) Local time and additive functionals (60J55)
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