Statistical modelling of solutions of stochastic differential equations with reflection of trajectories from the boundary (Q2730695)
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scientific article; zbMATH DE number 1624869
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Statistical modelling of solutions of stochastic differential equations with reflection of trajectories from the boundary |
scientific article; zbMATH DE number 1624869 |
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Statistical modelling of solutions of stochastic differential equations with reflection of trajectories from the boundary (English)
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29 July 2001
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statistical modelling
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discrete time approximation
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stochastic differential equations
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reflection
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Itô formula
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The paper studies a new approach to the discrete time approximation of stochastic differential equations with reflection. A sufficiently smooth boundary of a multidimensional domain can be handled. The method is derived by simultaneous application of the Itô formula to the solution process and the corresponding local time process.
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