Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations (Q3516096)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations |
scientific article |
Statements
Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations (English)
0 references
1 August 2008
0 references
stochastic differential equations
0 references
absorbing boundary
0 references
super-Brownian motion
0 references
splitting-step algorithm
0 references
convergence
0 references
nonnegativity
0 references
numerical examples
0 references
stochastic dynamics
0 references
mathematical finance
0 references
