Penalization schemes for reflecting stochastic differential equations (Q1380399)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Penalization schemes for reflecting stochastic differential equations |
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Penalization schemes for reflecting stochastic differential equations (English)
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4 March 1998
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This paper deals with discrete penalization schemes for reflecting stochastic differential equations. The author investigates the Euler approximation for the penalizing stochastic differential equations and obtains fine convergence results. He also compares the penalization scheme with the recursive projection scheme.
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penalization scheme
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reflection
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stochastic differential equation
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