A Numerical Scheme using Excursion Theory for Simulating Stochastic Differential Equations with Reflection and Local Time at a Boundary (Q4504225)
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scientific article; zbMATH DE number 1507591
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Numerical Scheme using Excursion Theory for Simulating Stochastic Differential Equations with Reflection and Local Time at a Boundary |
scientific article; zbMATH DE number 1507591 |
Statements
A Numerical Scheme using Excursion Theory for Simulating Stochastic Differential Equations with Reflection and Local Time at a Boundary (English)
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11 January 2001
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stochastic differential equations
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reflection diffusion process
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Monte Carlo method
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local time
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reflection at boundary
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excursion
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Euler scheme
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Brownian motion
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convergence
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