A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\) (Q945137)
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scientific article; zbMATH DE number 5342238
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\) |
scientific article; zbMATH DE number 5342238 |
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A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\) (English)
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11 September 2008
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reflected stochastic differential equation
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Euler schemes
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Milstein schemes
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splitting-step algorithm
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penalization method
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MATLAB programs
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