Discretization of a class of reflected diffusion processes (Q1897663)
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| Language | Label | Description | Also known as |
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| English | Discretization of a class of reflected diffusion processes |
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Discretization of a class of reflected diffusion processes (English)
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4 September 1995
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This note proposes three numerical schemes to approximate reflected diffusion processes. The first one is a penalization scheme; the two others are Euler schemes with projection and the author asserts they converge in mean square sense of order one. But some point in the given proof seems to be wrong, and the true order is known to be less than one.
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numerical schemes
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reflected diffusion processes
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penalization scheme
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Euler schemes
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