Penalization schemes for reflecting stochastic differential equations
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Publication:1380399
DOI10.2307/3318456zbMath0899.60053OpenAlexW2046251068MaRDI QIDQ1380399
Publication date: 4 March 1998
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bj/1175882215
Related Items (18)
Euler schemes and half-space approximation for the simulation of diffusion in a domain ⋮ Euler's approximations of solutions of SDEs with reflecting boundary. ⋮ Composition schemes for the stochastic differential equation describing collisional pitch-angle diffusion ⋮ Strong convergence rate for multivalued stochastic differential equations via stochastic theta method ⋮ Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions ⋮ Efficient Bayesian Computation for Low-Photon Imaging Problems ⋮ A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains ⋮ Reflecting image-dependent SDEs in Wasserstein space and large deviation principle ⋮ Penalization methods for the Skorokhod problem and reflecting SDEs with jumps ⋮ On the -distance between semimartingales reflecting in different domains> ⋮ A symmetrized Euler scheme for an efficient approximation of reflected diffusions ⋮ Reflected Brownian motion with singular drift ⋮ Penalty method for obliquely reflected diffusions ⋮ Stochastic Theta Method for a Reflected Stochastic Differential Equation ⋮ Mean reflected stochastic differential equations with jumps ⋮ Semi-implicit Euler-Maruyama scheme for polynomial diffusions on the unit ball ⋮ Numerical solution for a class of SPDEs over bounded domains ⋮ An approximation scheme for reflected stochastic differential equations with non-Lipschitzian coefficients
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