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Penalty Method for Obliquely Reflected Diffusions - MaRDI portal

Penalty Method for Obliquely Reflected Diffusions

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Publication:6265203

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DOI10.1007/S10986-021-09542-9arXiv1509.01777MaRDI QIDQ6265203

Andrey Sarantsev

Publication date: 6 September 2015

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60) Local time and additive functionals (60J55)

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