3 papers
math.PR2015
Penalty Method for Reflected Diffusions on the Half-Line
Cameron Bruggeman, Andrey Sarantsev
Consider a reflected diffusion on the positive half-line. We approximate it by solutions of stochastic differential equations using the penalty method: We emulate the "hard barrier…
math.PR2015
A one-dimensional diffusion hits points fast
Cameron Bruggeman, Johannes Ruf
A one-dimensional, continuous, regular, and strong Markov process with state space hits any point fast with positive probability. To wit, if $τ_z = \inf \{t \geq…
math.PR2013
Multiple Collisions in Systems of Competing Brownian Particles
Cameron Bruggeman, Andrey Sarantsev
Consider a finite system of competing Brownian particles on the real line. Each particle moves as a Brownian motion, with drift and diffusion coefficients depending only on its cur…