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Penalty Method for Obliquely Reflected D...

Sarantsev, Andrey...

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Penalty Method for Obliquely Reflected Diffusions by Sarantsev, Andrey ( Author )

Content Provider	Lemonjar Open Access
Publisher	N.A
Publication Date	01-01-2015
Summary	Take a multidimensional normally or obliquely reflected diffusion in a smooth domain. Approximate it by solutions of stochastic differential equations without reflection using the penalty method. That is, we approximate the reflection term with an additional drift term. In the existing literature, usually a specific approximating sequence is provided in order to prove existence of a reflected diffusion. In this article, we provide general sufficient conditions on the approximating coefficients.
ISBN	-
Item Type	Article
File Type	pdf
File Size	36.88 KB
Language	English
Subjects	-
Unlimited	MYR 0.00
Total read	-
URL	http://arxiv.org/abs/1509.01777

Citation

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AMA 11th EditionReferences

Sarantsev, Andrey. Penalty Method for Obliquely Reflected Diffusions. N.A. January 01, 2015. Accessed August 15, 2025. https://online.provdatabase.com/cite/11321

APA 7th EditionReferences

Sarantsev, Andrey. (2015). Penalty Method for Obliquely Reflected Diffusions. N.A. https://online.provdatabase.com/cite/11321

Chicago 17th EditionReferences

Sarantsev, Andrey. Penalty Method for Obliquely Reflected Diffusions. N.A. 2015. https://online.provdatabase.com/cite/11321

HarvardReferences

Sarantsev, Andrey. (2015). Penalty Method for Obliquely Reflected Diffusions. [Online]. N.A. Available from: https://online.provdatabase.com/cite/11321. (Accessed 15 August 2025).

Harvard AustraliaReferences

Sarantsev, Andrey, 2015, Penalty Method for Obliquely Reflected Diffusions, N.A, viewed 15 August 2025, <https://online.provdatabase.com/cite/11321>

MLA 9th EditionWorks Cited

Sarantsev, Andrey. Penalty Method for Obliquely Reflected Diffusions. N.A, 2015. PROV Database, https://online.provdatabase.com/cite/11321.

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