Penalty method for obliquely reflected diffusions
Sign Up to like & getrecommendations! Published in 2021 at "Lithuanian Mathematical Journal"
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
On a class of singular stochastic control problems for reflected diffusions
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Mathematical Analysis and Applications"
DOI: 10.1016/j.jmaa.2019.01.004
Abstract: Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for a general… read more here.
Keywords: stochastic control; control; reflected diffusions; class ... See more keywords