Penalty method for obliquely reflected diffusions
نویسندگان
چکیده
We consider a multidimensional normally or obliquely reflected diffusion in smooth domain. approximate it by solutions of stochastic differential equations without reflection using the penalty method, that is, we term with an additional drift term. In existing literature, usually specific approximating sequence is provided to prove existence diffusion. this paper, provide general sufficient conditions on coefficients.
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ژورنال
عنوان ژورنال: Lithuanian Mathematical Journal
سال: 2021
ISSN: ['1573-8825', '0363-1672']
DOI: https://doi.org/10.1007/s10986-021-09542-9