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ArticleWeak and strong approximations of reflected diffusions via penalization methods

Leszek Słomiński2012

OA

Articlebronze2012

Weak and strong approximations of reflected diffusions via penalization methods

Leszek Słomiński

22 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Probability and Risk Models

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References

1984Stochastic differential equations with reflecting boundary conditions 1979Stochastic differential equations with reflecting boundary condition in convex regions 1996Existence of strong solutions for Itô's stochastic equations via approximations 1991On lipschitz continuity of the solution mapping to the skorokhod problem, with applications 1998Problàme de Skorohod multivoque 1995A New Look at Pricing of the ”Russian Option“2001Euler's approximations of solutions of SDEs with reflecting boundary 2009On the Moments of the Modulus of Continuity of Itô Processes

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Year2012

Typearticle

Published2012-10-17

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2012.10.006

openalex_workW1984428484

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