A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\) (Q945137)

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A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\)
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    A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\) (English)
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    11 September 2008
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    reflected stochastic differential equation
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    Euler schemes
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    Milstein schemes
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    splitting-step algorithm
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    penalization method
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    MATLAB programs
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