Fast approximation of solutions of SDE's with oblique reflection on an orthant
Probability
2008-12-04 v1
Abstract
We consider the discrete "fast" penalization scheme for SDE's driven by general semimartingale on orthant with oblique reflection.
Keywords
Cite
@article{arxiv.0812.0619,
title = {Fast approximation of solutions of SDE's with oblique reflection on an orthant},
author = {Krzysztof Czarkowski},
journal= {arXiv preprint arXiv:0812.0619},
year = {2008}
}