Monte Carlo Simulation of Reflected Stochastic Differential Equations driven by Poisson Random Measures

DOI10.1515/MCMA.2000.6.1.1MaRDI QIDQ4484730zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Erika Hausenblas

Publication date 22 November 2000

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma.2000.6.1.1

zbMATH Keywords

Euler method for jump diffusions simulation of Levy processesMonte Carlo methodsreflected stochastic differential equations driven by quasi stable Levy processessimulation of local timeweak-type convergence rates

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(3)

• Unbiased simulation method with the Poisson kernel method for stochastic differential equations with reflection
• scientific article; zbMATH DE number 5689384 (Why is no real title available?)
• A Numerical Scheme using Excursion Theory for Simulating Stochastic Differential Equations with Reflection and Local Time at a Boundary

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