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

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Publication:3583843

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zbMATH Open1197.60069arXiv0812.0619MaRDI QIDQ3583843

Author name not available (Why is that?)

Publication date: 18 August 2010

Abstract: We consider the discrete "fast" penalization scheme for SDE's driven by general semimartingale on orthant

m a t h b b R_{+}^{d}

with oblique reflection.

Full work available at URL: https://arxiv.org/abs/0812.0619

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