A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\) (Q945137)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A splitting-step algorithm for reflected stochastic differential equations in R^1_+ |
scientific article; zbMATH DE number 5342238
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\) |
scientific article; zbMATH DE number 5342238 |
Statements
A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\) (English)
0 references
11 September 2008
0 references
reflected stochastic differential equation
0 references
Euler schemes
0 references
Milstein schemes
0 references
splitting-step algorithm
0 references
penalization method
0 references
MATLAB programs
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.804098904132843
0 references
0.7791317701339722
0 references
0.7707631587982178
0 references
0.7657220959663391
0 references
0.7649474143981934
0 references
