A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\) (Q945137): Difference between revisions

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-Ying-Ying Zhang
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+Ying-Ying Zhang
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+Matlab
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+https://doi.org/10.1016/j.camwa.2007.08.043
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+Functional Integration and Partial Differential Equations. (AM-109)
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+Stochastic differential equations with reflecting boundary conditions
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+On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
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+Penalization methods for reflecting stochastic differential equations with jumps
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+Stochastic differential equations for multi-dimensional domain with reflecting boundary
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+Some remarks on approximation of solutions of SDE's with reflecting boundary conditions
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+Discretization of a class of reflected diffusion processes
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+Approximations for stochastic differential equations with reflecting convex boundaries
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+Reflected diffusion processes with jumps
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+Publication:945137