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WROCŁAW UNIVERSITY
OF SCIENCE AND
TECHNOLOGY

Contents of PMS, Vol. 30, Fasc. 1,
pages 167 - 182
 

FAST APPROXIMATION OF SOLUTIONS OF SDE’S WITH OBLIQUE REFLECTION ON AN ORTHANT

Krzysztof T. Czarkowski

Abstract: We consider the discrete “fast” penalization scheme for SDE’s driven by general semimartingale on orthant Rd
 +  with oblique reflection.

2000 AMS Mathematics Subject Classification: Primary: 60H20; Secondary: 60H99.

Keywords and phrases: Skorokhod problem, reflected stochastic differential equations, discrete approximation methods.

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