reflected diffusions
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scholarly journals Penalty method for obliquely reflected diffusions

2021 ◽  
Author(s):  
Andrey Sarantsev
Keyword(s):  
Penalty Method ◽  
Reflected Diffusions

scholarly journals Dynamical large deviations of reflected diffusions

2020 ◽  
Vol 102 (1) ◽  
Author(s):  
Johan du Buisson ◽  
Hugo Touchette
Keyword(s):  
Large Deviations ◽  
Reflected Diffusions

scholarly journals Pathwise differentiability of reflected diffusions in convex polyhedral domains

2019 ◽  
Vol 55 (3) ◽  
pp. 1439-1476
Author(s):  
David Lipshutz ◽  
Kavita Ramanan
Keyword(s):  
Reflected Diffusions ◽  
Convex Polyhedral

scholarly journals A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains

2019 ◽  
Vol 9 (2) ◽  
pp. 101-140
Author(s):  
David Lipshutz ◽  
Kavita Ramanan
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Reflected Diffusions ◽  
Convex Polyhedral

scholarly journals Weak convergence of obliquely reflected diffusions

2018 ◽  
Vol 54 (3) ◽  
pp. 1408-1431
Author(s):  
Andrey Sarantsev
Keyword(s):  
Weak Convergence ◽  
Reflected Diffusions

scholarly journals On the submartingale problem for reflected diffusions in domains with piecewise smooth boundaries

2017 ◽  
Vol 45 (1) ◽  
pp. 404-468 ◽  
Author(s):  
Weining Kang ◽  
Kavita Ramanan
Keyword(s):  
Piecewise Smooth ◽  
Reflected Diffusions

scholarly journals Penalty method for reflected diffusions on the half-line

Stochastics ◽  
2016 ◽  
Vol 89 (2) ◽  
pp. 485-509
Author(s):  
Cameron Bruggeman ◽  
Andrey Sarantsev
Keyword(s):  
Penalty Method ◽  
Half Line ◽  
Reflected Diffusions

Analysis of Reflected Diffusions via an Exponential Time-Based Transformation

2016 ◽  
Vol 163 (6) ◽  
pp. 1425-1453 ◽  
Author(s):  
Antonio Di Crescenzo ◽  
Virginia Giorno ◽  
Amelia G. Nobile
Keyword(s):  
Exponential Time ◽  
Reflected Diffusions

scholarly journals Discrete approximations to local times for reflected diffusions

2016 ◽  
Vol 21 (0) ◽  
Author(s):  
Wai-Tong Louis Fan
Keyword(s):  
Local Times ◽  
Discrete Approximations ◽  
Reflected Diffusions
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