Event Date Details:
Refreshments served at 3:15pm
- Sobel Seminar Room; South Hall 5607F
- 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.