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• W3204145203 abstract "We consider a multidimensional normally or obliquely reflected diffusion in a smooth domain. We approximate it by solutions of stochastic differential equations without reflection using the penalty method, that is, we approximate the reflection term with an additional drift term. In the existing literature, usually a specific approximating sequence is provided to prove the existence of a reflected diffusion. In this paper, we provide general sufficient conditions on the approximating coefficients." @default.
• W3204145203 created "2021-10-11" @default.
• W3204145203 creator A5035530377 @default.
• W3204145203 date "2021-10-01" @default.
• W3204145203 modified "2023-10-16" @default.
• W3204145203 title "Penalty method for obliquely reflected diffusions" @default.
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• W3204145203 doi "https://doi.org/10.1007/s10986-021-09542-9" @default.
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