An approximation scheme for reflected stochastic differential equations with non-Lipschitzian coefficients (Q2116492)
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scientific article; zbMATH DE number 7491647
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| English | An approximation scheme for reflected stochastic differential equations with non-Lipschitzian coefficients |
scientific article; zbMATH DE number 7491647 |
Statements
An approximation scheme for reflected stochastic differential equations with non-Lipschitzian coefficients (English)
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17 March 2022
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stochastic differential equations
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reflecting boundary
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non-Lipschitzian coefficients
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penalization Euler scheme
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0.8232138156890869
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0.821142315864563
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0.8199326395988464
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0.816117525100708
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0.8094996213912964
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