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arXiv:0812.0619 [math.PR]AbstractReferencesReviewsResources

Fast approximation of solutions of SDE's with oblique reflection on an orthant

Krzysztof Czarkowski

Published 2008-12-02Version 1

We consider the discrete "fast" penalization scheme for SDE's driven by general semimartingale on orthant $\mathbb{R}_{+}^{d}$ with oblique reflection.

Categories: math.PR
Subjects: 60H20
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