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MARKOV CHAIN APPROXIMATION OF ONE-DIMENSIONAL STICKY DIFFUSIONS

Meier, C; Li, LF; Zhang, GQ

Li, LF (corresponding author), Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Hong Kong, Peoples R China.

ADVANCES IN APPLIED PROBABILITY, 2021; 53 (2): 335

Abstract

We develop a continuous-time Markov chain (CTMC) approximation of one-dimensional diffusions with sticky boundary or interior points. Approximate solu......

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