Euler scheme for reflected stochastic differential equations
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Cites work
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 203212 (Why is no real title available?)
- Discretization and simulation of stochastic differential equations
- Exponential models, brownian motion, and independence
- On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
- Stochastic differential equations for multi-dimensional domain with reflecting boundary
- Stochastic differential equations with reflecting boundary conditions
- Strong Solutions of Stochastic Differential Equations with Boundary Conditions
- The joint density of the maximum and its location for a Wiener process with drift
Cited in
(42)- A Lagrangian fluctuation-dissipation relation for scalar turbulence. II: Wall-bounded flows
- 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
- Algorithmic analysis of Euler scheme for a class of stochastic differential equations with jumps
- A new numerical scheme for a class of reflected stochastic differential equations
- 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
- Multivalued monotone stochastic differential equations with jumps
- Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients
- Dynamic value at risk under optimal and suboptimal portfolio policies.
- 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
- Euler's Approximations of Solutions of Reflecting SDEs with Discontinuous Coefficients
- Is a Brownian Motion Skew?
- Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero
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