Numerical solutions for reflected stochastic differential equations

MaRDI QIDQ3407985zbMATH OpenFDO

Authors Deng Ding, Ying-Ying Zhang

Publication date 24 February 2010

zbMATH Keywords

convergenceEuler-type schemesMATLAB programsMilstein-type schemesnumerical experimentspenalization methodreflected stochastic differential equationssplitting-step algorithm

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cited in

(5)

• A numerical scheme using Itô excursions for simulating local time resp. Stochastic differential equations with reflection
• A new numerical scheme for a class of reflected stochastic differential equations
• Convergence error analysis of reflected gradient Langevin dynamics for non-convex constrained optimization
• Maximum likelihood estimation for nonlinear reflected stochastic differential equations
• A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\)

Describes a project that uses

Uses Software

• Matlab

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