Fast approximation of solutions of SDE's with oblique reflection on an orthant
We consider the discrete "fast" penalization scheme for SDE's driven by general semimartingale on orthant $\mathbb{R}_{+}^{d}$ with oblique reflection.
math.PR↗
arXiv subjects
Krzysztof Czarkowski
Publications and source records attributed to Krzysztof Czarkowski.