A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\)
From MaRDI portal
Publication:945137
DOI10.1016/j.camwa.2007.08.043zbMath1142.65307MaRDI QIDQ945137
Publication date: 11 September 2008
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2007.08.043
penalization method; Euler schemes; reflected stochastic differential equation; MATLAB programs; Milstein schemes; splitting-step algorithm
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
Related Items
Stochastic Theta Method for a Reflected Stochastic Differential Equation, Numerical schemes for multivalued backward stochastic differential systems
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Reflected diffusion processes with jumps
- Stochastic differential equations for multi-dimensional domain with reflecting boundary
- On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
- A note on probabilistic interpretation for quasilinear mixed boundary problems
- Employing stochastic differential equations to model wildlife motion
- Discretization of a class of reflected diffusion processes
- Some remarks on approximation of solutions of SDE's with reflecting boundary conditions
- Euler scheme for reflected stochastic differential equations
- Approximations for stochastic differential equations with reflecting convex boundaries
- An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
- Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations
- Functional Integration and Partial Differential Equations. (AM-109)
- Stochastic differential equations with reflecting boundary conditions
- Strong Solutions of Stochastic Differential Equations with Boundary Conditions
- Penalization methods for reflecting stochastic differential equations with jumps
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
