A numerical scheme using Itô excursions for simulating local time resp. Stochastic differential equations with reflection (Q1282252)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A numerical scheme using Itô excursions for simulating local time resp. Stochastic differential equations with reflection |
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A numerical scheme using Itô excursions for simulating local time resp. Stochastic differential equations with reflection (English)
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10 November 1999
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The author considers the problem of constructing discrete time approximations for stochastic differential equations that involve local times. These naturally occur, for instance, in the case of reflection at a boundary or for the so-called Skorochod problem. The author suggests a new numerical algorithm for simulating the local time. The rate of convergence is derived for that approximation.
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discrete time approximations
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stochastic differential equations
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local times
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reflection
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Skorochod problem
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algorithm
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convergence
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