Penalty method for obliquely reflected diffusions
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DOI: 10.1007/s10986-021-09542-9
Abstract: We approximate of solutions of stochastic differential equations driven by Brownian motion in a smooth domain and obliquely (not necessarily normally) reflected at the boundary. This approximation is done by replacing reflection term with a… read more here.
Keywords: penalty method; method obliquely; penalty; reflected diffusions ... See more keywords