Discretization of a class of reflected diffusion processes

DOI10.1016/0378-4754(93)E0072-DzbMATH Open0828.65150OpenAlexW2031774099MaRDI QIDQ1897663FDOQ1897663

Authors: Yingjie Liu 

Publication date: 4 September 1995

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-4754(93)e0072-d

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zbMATH Keywords

numerical schemesEuler schemesreflected diffusion processespenalization scheme

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Diffusion processes (60J60)

Cites Work

• Title not available (Why is that?)

Cited In (7)

• Lévy flights in inhomogeneous environments and \(1 / f\) noise
• Power-law statistics from nonlinear stochastic differential equations driven by Lévy stable noise
• Discretization of processes.
• Discrete approximations to local times for reflected diffusions
• A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\)
• Numerical solutions for reflected stochastic differential equations
• Efficient schemes for the weak approximation of reflected diffusions

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