Fast approximation of solutions of SDE's with oblique reflection on an orthant

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We consider the discrete "fast" penalization scheme for SDE's driven by general semimartingale on orthant $\mathbb{R}_{+}^{d}$ with oblique reflection.

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Probability, 60H20

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http://salesiana.dossiersoluciones.com/handle/123456789/209412

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0812.0619
 http://arxiv.org/abs/0812.0619

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arXiv