{
  "id": "1509.01777",
  "version": "v1",
  "published": "2015-09-06T07:19:40.000Z",
  "updated": "2015-09-06T07:19:40.000Z",
  "title": "Weak Approximation of Multidimensional Obliquely Reflected Brownian Motion by Solutions of SDE",
  "authors": [
    "Andrey Sarantsev"
  ],
  "comment": "32 pages. Keywords: Reflected Brownian motion, stochastic differential equations, positive orthant, non-smooth parts of the boundary, oblique reflection, scale function, weak convergence",
  "categories": [
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2015-09-06T07:19:40.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60J60",
      "60J55",
      "60J65",
      "60H10"
    ],
    "keywords": [
      "multidimensional obliquely reflected brownian motion",
      "weak approximation",
      "semimartingale reflected brownian motion",
      "diffusion processes",
      "hard barrier"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 32,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2015arXiv150901777S"
    }
  }
}