A symmetrized Euler scheme for an efficient approximation of reflected diffusions (Q4668006): Difference between revisions

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Latest revision as of 09:03, 10 June 2024

scientific article; zbMATH DE number 2158171
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English
A symmetrized Euler scheme for an efficient approximation of reflected diffusions
scientific article; zbMATH DE number 2158171

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    A symmetrized Euler scheme for an efficient approximation of reflected diffusions (English)
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    18 April 2005
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    reflected diffusion
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    weak approximation
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    stochastic differential equations
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    Euler approximations
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    weak convergence
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    Monte Carlo simulation
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