Approximation of Reflected Difussions by Solutions of SDE

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
  • 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.