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math.PR2015
Reflected Brownian Motion in a Convex Polyhedral Cone: Tail Estimates for the Stationary Distribution
Andrey Sarantsev
Consider an multidimensional obliquely reflected Brownian motion in the positive orthant, or, more generally, in a convex polyhedral cone. We find sufficient conditions for existen…
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…