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- W2303524030 abstract "Consider a reflected diffusion on the positive half-line. We approximate it by solutions of stochastic differential equations using the penalty method: We emulate the hard barrier of reflection by a soft barrier of a large drift coefficient, which compells the diffusion to return to the positive half-line. The main tool of the proof is convergence of scale functions." @default.
- W2303524030 created "2016-06-24" @default.
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- W2303524030 date "2015-09-06" @default.
- W2303524030 modified "2023-09-27" @default.
- W2303524030 title "Weak Approximation of Reflected Diffusions on The Positive Half-Line by Solutions of SDE" @default.
- W2303524030 hasPublicationYear "2015" @default.
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