Event Date:
Wednesday, October 7, 2015 - 3:30pm to 5:00pm
Event Date Details:
Refreshments served at 3:15pm
Event Location:
- Sobel Seminar Room; South Hall 5607F
Related Link:
- Department Seminar Series
Abstract: Consider a reflected diffusion on the positive half-line. It has a hard barrier at zero, which it cannot penetrate. We approximate it by a soft barrier created by drift, that is, by a solution to an SDE. We also consider a mutlidimensional version of this problem.
October 2, 2015 - 11:47am