A symmetrized Euler scheme for an efficient approximation of reflected diffusions (Q4668006)
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scientific article; zbMATH DE number 2158171
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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