Mixing
Good material on reflecting boundaries for stochastic processes
$begingroup$
restricting attention to continuous time, continuous state space ( say $mathbb{R}$) stochastic processes. Can someone point me in the right direction of how to one imposes reflecting boundary conditions.
Is there a general technique to do this ? Is the problem easier if we consider a process $X(t)$ where it is a solution to some SDE $dX=b(t,X)dt+sigma(t,X)dB$ (not just a general continuous time, continuous state space stochastic process).
If anyone could point me in the direction on what they believe to be the best reading material on this topic I would be most thankful.
stochastic-processes stochastic-calculus brownian-motion reflection
asked Jan 11 at 15:56
MontyMonty
33613
$endgroup$
add a comment |
$begingroup$
restricting attention to continuous time, continuous state space ( say $mathbb{R}$) stochastic processes. Can someone point me in the right direction of how to one imposes reflecting boundary conditions.
Is there a general technique to do this ? Is the problem easier if we consider a process $X(t)$ where it is a solution to some SDE $dX=b(t,X)dt+sigma(t,X)dB$ (not just a general continuous time, continuous state space stochastic process).
If anyone could point me in the direction on what they believe to be the best reading material on this topic I would be most thankful.
stochastic-processes stochastic-calculus brownian-motion reflection
asked Jan 11 at 15:56
MontyMonty
33613
$endgroup$
add a comment |
$begingroup$
restricting attention to continuous time, continuous state space ( say $mathbb{R}$) stochastic processes. Can someone point me in the right direction of how to one imposes reflecting boundary conditions.
Is there a general technique to do this ? Is the problem easier if we consider a process $X(t)$ where it is a solution to some SDE $dX=b(t,X)dt+sigma(t,X)dB$ (not just a general continuous time, continuous state space stochastic process).
If anyone could point me in the direction on what they believe to be the best reading material on this topic I would be most thankful.
stochastic-processes stochastic-calculus brownian-motion reflection
asked Jan 11 at 15:56
MontyMonty
33613
$endgroup$
restricting attention to continuous time, continuous state space ( say $mathbb{R}$) stochastic processes. Can someone point me in the right direction of how to one imposes reflecting boundary conditions.
Is there a general technique to do this ? Is the problem easier if we consider a process $X(t)$ where it is a solution to some SDE $dX=b(t,X)dt+sigma(t,X)dB$ (not just a general continuous time, continuous state space stochastic process).
If anyone could point me in the direction on what they believe to be the best reading material on this topic I would be most thankful.
stochastic-processes stochastic-calculus brownian-motion reflection
stochastic-processes stochastic-calculus brownian-motion reflection
asked Jan 11 at 15:56
MontyMonty
33613
asked Jan 11 at 15:56
MontyMonty
33613
asked Jan 11 at 15:56
MontyMonty
33613
asked Jan 11 at 15:56
MontyMonty
33613
asked Jan 11 at 15:56
MontyMonty
33613
33613
add a comment |
add a comment |
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