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The Skorohod oblique reflection problem in time-dependent domains
The Skorohod oblique reflection problem time-dependent domains
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2010/11/15
The deterministic Skorohod problem plays an important role in the construction and analysis of diffusion processes with reflection. In the form studied here, the multidimensional Skorohod problem was...
Approximation of solutions of SDE's with oblique reflection on an orthant
Approximation of solutions SDE oblique reflection an orthant
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2009/9/21
We'consider the discrete penalization scheme, the projection
and the Euler-Peano scheme for SDE's driven by general semimartingale
on an orthant with oblique reflection. We prove that these
schemes...