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WEAK APPROXIMATION OF OBLIQUELY REFLECTED DIFFUSIONS IN TIME-DEPENDENT DOMAINS |
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| Authors: | Kaj Nystroem Thomas Oenskog |
| Institution: | Department of Mathematics and Mathematical Statistics, Umeae University, SE-901 87 Umed, Sweden |
| Abstract: | Stochastic differential equations, Oblique reflection, Robin boundary condi-tions, Skorohod problem, Time-dependent domain, Weak approximation, Monte Carlomethod, Parabolic partial differential equations, Projected Euler scheme. |
| Keywords: | Stochastic differential equations Oblique reflection Robin boundary condi-tions Skorohod problem Time-dependent domain Weak approximation Monte Carlomethod Parabolic partial differential equations Projected Euler scheme |
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