Euler scheme for reflected stochastic differential equations
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Publication:1897665
DOI10.1016/0378-4754(93)E0074-FzbMath0824.60062OpenAlexW2035778499MaRDI QIDQ1897665
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
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99)
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Cites Work
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- Discretization and simulation of stochastic differential equations
- Stochastic differential equations for multi-dimensional domain with reflecting boundary
- On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
- Stochastic differential equations with reflecting boundary conditions
- Exponential models, brownian motion, and independence
- Strong Solutions of Stochastic Differential Equations with Boundary Conditions
- The joint density of the maximum and its location for a Wiener process with drift
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