Euler scheme for reflected stochastic differential equations

DOI10.1016/0378-4754(93)E0074-FzbMATH Open0824.60062OpenAlexW2035778499MaRDI QIDQ1897665FDOQ1897665

Authors: Dominique Lépingle 

Publication date: 31 October 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)e0074-f

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zbMATH Keywords

rate of convergencereflected stochastic differential equationsEuler- Maruyama scheme

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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• The joint density of the maximum and its location for a Wiener process with drift
• Stochastic differential equations with reflecting boundary conditions
• Discretization and simulation of stochastic differential equations
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• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
• Strong Solutions of Stochastic Differential Equations with Boundary Conditions
• Exponential models, brownian motion, and independence

Cited In (42)

• On approximation of solutions of one-dimensional reflecting SDEs with discontinuous coefficients
• Numerical schemes for multivalued backward stochastic differential systems
• Semi-implicit Euler-Maruyama scheme for polynomial diffusions on the unit ball
• A Monte Carlo estimation of the mean residence time in cells surrounded by thin layers
• Sequential maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
• A new numerical scheme for a class of reflected stochastic differential equations
• Algorithmic analysis of Euler scheme for a class of stochastic differential equations with jumps
• On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media
• Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes
• Rate of convergence of a particle method for the solution of a 1D viscous scalar conservation law in a bounded interval
• A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes
• A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\)
• Statistical estimation in a randomly structured branching population
• The snapping out Brownian motion
• Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes
• Estimation of all parameters in the reflected Ornstein-Uhlenbeck process from discrete observations
• Some random batch particle methods for the Poisson-Nernst-Planck and Poisson-Boltzmann equations
• Nadaraya-Watson estimators for reflected stochastic processes
• Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations
• A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
• Dynamic value at risk under optimal and suboptimal portfolio policies.
• Multivalued monotone stochastic differential equations with jumps
• Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients
• A symmetrized Euler scheme for an efficient approximation of reflected diffusions
• Approximation for non-smooth functionals of stochastic differential equations with irregular drift
• Least squares estimators for reflected Ornstein–Uhlenbeck processes
• Computational Science - ICCS 2004
• Euler Scheme for a Stochastic Goursat Problem
• Origin of enhanced skin friction at the onset of boundary-layer transition
• Reflected stochastic differential equation models for constrained animal movement
• Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations
• Exact Monte Carlo simulation of killed diffusions
• Unbiased simulation method with the Poisson kernel method for stochastic differential equations with reflection
• Mean reflected stochastic differential equations with jumps
• The euler scheme for anticipating stochastic differential equations
• Invasion and adaptive evolution for individual-based spatially structured populations
• A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains
• Euler schemes and half-space approximation for the simulation of diffusion in a domain
• Is a Brownian Motion Skew?
• Euler's Approximations of Solutions of Reflecting SDEs with Discontinuous Coefficients
• Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero
• A Lagrangian fluctuation-dissipation relation for scalar turbulence. II: Wall-bounded flows

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