Penalization schemes for reflecting stochastic differential equations

Roger Pettersson

doi:bj/1175882215

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Home > Journals > Bernoulli > Volume 3 > Issue 4 > Article

December 1997 Penalization schemes for reflecting stochastic differential equations

Roger Pettersson

Bernoulli 3(4): 403-414 (December 1997).

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Abstract

We consider discrete penalization schemes for reflecting stochastic differential equations. The convergence results obtained by Liu are generalized and refined. We also compare the penalization schemes with a more well-known recursive projection scheme.