Stochastic Theta Method for a Reflected Stochastic Differential Equation

DOI10.1080/01630563.2013.837068MaRDI QIDQ4979797zbMATH OpenOpenAlexWikidataFDO

Authors HaiSen Zhang

Publication date 19 June 2014

Published in Numerical Functional Analysis and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/01630563.2013.837068

zbMATH Keywords

Skorokhod problemstochastic theta methodreflected stochastic differential equationA-stable

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• scientific article; zbMATH DE number 3774629 (Why is no real title available?)
• A new double projection algorithm for variational inequalities
• A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\)
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• Approximations for stochastic differential equations with reflecting convex boundaries
• Euler's approximations of solutions of SDEs with reflecting boundary.
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Multivalued Skorohod problem
• Multivalued stochastic differential equations: Convergence of a numerical scheme
• On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
• On lipschitz continuity of the solution mapping to the skorokhod problem, with applications
• On stability and existence of solutions of SDEs with reflection at the boundary
• Penalization schemes for reflecting stochastic differential equations
• Projection scheme for stochastic differential equations with convex constraints.
• Some remarks on approximation of solutions of SDE's with reflecting boundary conditions
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• Stochastic differential equations with a convex constraint
• Stochastic differential equations with reflecting boundary conditions
• Strong Solutions of Stochastic Differential Equations with Boundary Conditions
• Weak and strong approximations of reflected diffusions via penalization methods

Cited in

(6)

• Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
• Strong convergence rate for multivalued stochastic differential equations via stochastic theta method
• Extrapolation of the Stochastic Theta Numerical Method for Stochastic Differential Equations
• Modified stochastic theta methods by ODEs solvers for stochastic differential equations
• A probabilistic interpretation of the \(\theta\)-method.
• A long term analysis of stochastic theta methods for mean reverting linear process with jumps

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