FAST APPROXIMATION OF SOLUTIONS OF SDE’S WITH OBLIQUE
REFLECTION ON AN ORTHANT
Abstract: We consider the discrete “fast” penalization scheme for SDE’s driven by general
semimartingale on orthant with oblique reflection.
2000 AMS Mathematics Subject Classification: Primary: 60H20; Secondary:
Keywords and phrases: Skorokhod problem, reflected stochastic differential equations,
discrete approximation methods.