Andrey Sarantsev
Published 2015-09-06Version 1
Consider a multidimensional obliquely reflected Brownian motion in a domain. We approximate it by diffusion processes: We emulate the "hard barrier" of reflection by a "soft barrier" of a drift coefficient. Our results include the case of the boundary with non-non-smooth parts, as long as the reflected Brownian motion does not hit these parts. We apply these results to a semimartingale reflected Brownian motion (SRBM) in the orthant.
Comments: 32 pages. Keywords: Reflected Brownian motion, stochastic differential equations, positive orthant, non-smooth parts of the boundary, oblique reflection, scale function, weak convergence
On diffusion processes with drift in $L_{d+1}$
Weak Approximation of Reflected Diffusions on The Positive Half-Line by Solutions of SDE
Excursions of diffusion processes and continued fractions
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