Penalization schemes for reflecting stochastic differential equations (Q1380399): Difference between revisions
From MaRDI portal
Removed claim: reviewed by (P1447): Item:Q731708 |
Set OpenAlex properties. |
||
| (2 intermediate revisions by 2 users not shown) | |||
| Property / reviewed by | |||
| Property / reviewed by: Makiko Nisio / rank | |||
Normal rank | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2046251068 / rank | |||
Normal rank | |||
Latest revision as of 19:05, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Penalization schemes for reflecting stochastic differential equations |
scientific article |
Statements
Penalization schemes for reflecting stochastic differential equations (English)
0 references
4 March 1998
0 references
This paper deals with discrete penalization schemes for reflecting stochastic differential equations. The author investigates the Euler approximation for the penalizing stochastic differential equations and obtains fine convergence results. He also compares the penalization scheme with the recursive projection scheme.
0 references
penalization scheme
0 references
reflection
0 references
stochastic differential equation
0 references
