A Numerical Scheme using Excursion Theory for Simulating Stochastic Differential Equations with Reflection and Local Time at a Boundary
type: Item
instance of: scholarly article
title: A Numerical Scheme using Excursion Theory for Simulating Stochastic Differential Equations with Reflection and Local Time at a Boundary
zbMATH Open document ID: 0960.65009
author: Erika Hausenblas
published in: Monte Carlo Methods and Applications
publication date: 2001-01-11T00:00:00Z
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 34F05
Mathematics Subject Classification ID: 65L05
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 60J60
zbMATH DE Number: 1507591
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: reflection diffusion process
zbMATH Keywords: Monte Carlo method
zbMATH Keywords: local time
zbMATH Keywords: reflection at boundary
zbMATH Keywords: excursion
zbMATH Keywords: Euler scheme
zbMATH Keywords: Brownian motion
zbMATH Keywords: convergence
MaRDI profile type: MaRDI publication profile
full work available at URL: mcma.2000.6.2.81
OpenAlex ID: W1985106424
Wikidata QID: Q59225752
DOI: 10.1515/MCMA.2000.6.2.81
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description: scientific article; zbMATH DE number 1507591