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math.PR2016
On approximate continuity and the support of reflected stochastic differential equations
Jiagang Ren, Jing Wu
In this paper we prove an approximate continuity result for stochastic differential equations with normal reflections in domains satisfying Saisho's conditions, which together with…
math.PR2016
Penalization of Reflected SDEs and Neumann Problems of HJB Equations
Jiagang Ren, Jing Wu
In this paper we first study the penalization approximation of stochastic differential equations reflected in a domain which satisfies conditions (A) and (B) and prove that the seq…