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math.PR2017
Approximating diffusion reflections at elastic boundaries
Dirk Becherer, Todor Bilarev, Peter Frentrup
We show a probabilistic functional limit result for one-dimensional diffusion processes that are reflected at an elastic boundary which is a function of the reflection local time.…
q-fin.MF2017★ 18 cited
Stability for gains from large investors' strategies in M1/J1 topologies
Dirk Becherer, Todor Bilarev, Peter Frentrup
We prove continuity of a controlled SDE solution in Skorokhod's and topologies and also uniformly, in probability, as a non-linear functional of the control strategy. T…