Diffusion processes with weak constraint through penalization approximation
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Publication:6285196
arXiv1704.01505MaRDI QIDQ6285196FDOQ6285196
Authors: Jean-François Jabir 
Publication date: 5 April 2017
Abstract: In this paper, we investigate the construction of a diffusion process whose time-marginal densities are constrained to belong to a given set at all time. The construction is obtained from a penalization approximation to the constraint set, acting on the Wasserstein distance W2 to the constraint space. Under some technical assumptions on the constraint space and the initial distribution of the model, the penalization approximation yields to a stochastic differential equation analogous to the Skorohod problem of reflected diffusion.
Diffusion processes (60J60) Stochastic difference equations (39A50) Convexity properties of solutions to PDEs with constant coefficients (35E10)
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