An approximation scheme for reflected stochastic differential equations with non-Lipschitzian coefficients

DOI10.1007/s10959-020-01052-7zbMath1495.60048OpenAlexW3096897312WikidataQ115382032 ScholiaQ115382032MaRDI QIDQ2116492

Junxia Duan, Jun Peng

Publication date: 17 March 2022

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-020-01052-7

zbMATH Keywords

stochastic differential equationsreflecting boundarynon-Lipschitzian coefficientspenalization Euler scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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