Digital modelling methods for stochastic differential equations when absorbing boundaries are present (Q1119269)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Digital modelling methods for stochastic differential equations when absorbing boundaries are present |
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Digital modelling methods for stochastic differential equations when absorbing boundaries are present (English)
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1988
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Numerical methods for stochastic differential equations are extended to the case of a bounded region. The case of absorption on a regular portion of the boundary is considered. The convergence of the approximate digitized solution is shown and numerical examples can be found.
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Numerical methods for stochastic differential equations
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