Numerical solutions for reflected stochastic differential equations (Q3407985)
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scientific article; zbMATH DE number 5674697
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| English | Numerical solutions for reflected stochastic differential equations |
scientific article; zbMATH DE number 5674697 |
Statements
24 February 2010
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reflected stochastic differential equations
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numerical experiments
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MATLAB programs
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splitting-step algorithm
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penalization method
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convergence
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Milstein-type schemes
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Euler-type schemes
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0.8425589203834534
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0.8177005052566528
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0.804098904132843
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0.8028154969215393
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0.8019521832466125
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