A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\)
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Publication:945137
DOI10.1016/j.camwa.2007.08.043zbMath1142.65307OpenAlexW2003831796MaRDI QIDQ945137
Publication date: 11 September 2008
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2007.08.043
penalization methodEuler schemesreflected stochastic differential equationMATLAB programsMilstein schemessplitting-step algorithm
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
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Numerical schemes for multivalued backward stochastic differential systems, Stochastic Theta Method for a Reflected Stochastic Differential Equation
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Cites Work
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