Penalty Method for Reflected Diffusions on the Half-Line
Probability
2016-10-17 v5
Abstract
Consider a reflected diffusion on the positive half-line. We approximate it by solutions of stochastic differential equations using the penalty method: We emulate the "hard barrier" of reflection by a "soft barrier" of a large drift coefficient, which compells the diffusion to return to the positive half-line. The main tool of the proof is convergence of scale functions.
Cite
@article{arxiv.1509.01776,
title = {Penalty Method for Reflected Diffusions on the Half-Line},
author = {Cameron Bruggeman and Andrey Sarantsev},
journal= {arXiv preprint arXiv:1509.01776},
year = {2016}
}
Comments
21 pages. Keywords: Stochastic differential equation, reflected diffusion, reflected Brownian motion, weak convergence, scale function, penalty method