Stochastic Theta Method for a Reflected Stochastic Differential Equation
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Publication:4979797
DOI10.1080/01630563.2013.837068zbMATH Open1291.65027OpenAlexW1963944549WikidataQ115303573 ScholiaQ115303573MaRDI QIDQ4979797FDOQ4979797
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
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Cites Work
- Stochastic differential equations with reflecting boundary conditions
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- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- Multivalued Skorohod problem
- Euler's approximations of solutions of SDEs with reflecting boundary.
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- On stability and existence of solutions of SDEs with reflection at the boundary
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- Stochastic differential equations for multi-dimensional domain with reflecting boundary
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- Approximation and simulation of stochastic variational inequalities - splitting up method
- On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
- Strong Solutions of Stochastic Differential Equations with Boundary Conditions
- A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\)
- Multivalued stochastic differential equations: Convergence of a numerical scheme
- Approximating and Simulating Multivalued 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
- Stochastic differential equations with a convex constraint
- Weak and strong approximations of reflected diffusions via penalization methods
Cited In (6)
- Strong convergence rate for multivalued stochastic differential equations via stochastic theta method
- Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
- 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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