Numerical solutions for reflected stochastic differential equations

zbMATH Open1185.65010MaRDI QIDQ3407985FDOQ3407985

Authors: Deng Ding, Ying-Ying Zhang 

Publication date: 24 February 2010

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zbMATH Keywords

convergencenumerical experimentspenalization methodreflected stochastic differential equationsMATLAB programssplitting-step algorithmEuler-type schemesMilstein-type schemes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Cited In (4)

• A new numerical scheme for a class of reflected stochastic differential equations
• A numerical scheme using Itô excursions for simulating local time resp. Stochastic differential equations with reflection
• A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\)
• Convergence error analysis of reflected gradient Langevin dynamics for non-convex constrained optimization

Uses Software

• Matlab

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