Penalty method for reflected diffusions on the half-line

DOI10.1080/17442508.2016.1249872zbMath1379.60091arXiv1509.01776OpenAlexW2964265184MaRDI QIDQ2974874

Andrey Sarantsev, Cameron Bruggeman

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

stochastic differential equationweak convergencescale functionpenalty methodreflected Brownian motionreflected diffusion

Mathematics Subject Classification ID

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

Related Items (3)

Boundary approximation for sticky jump-reflected processes on the half-line ⋮ Penalty method for obliquely reflected diffusions ⋮ Stationary distributions and convergence for Walsh diffusions

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