A numerical scheme using Itô excursions for simulating local time resp. Stochastic differential equations with reflection

zbMath0924.65145MaRDI QIDQ1282252

Erika Hausenblas

Publication date: 10 November 1999

Published in: Osaka Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

algorithmconvergencereflectionstochastic differential equationslocal timesdiscrete time approximationsSkorochod problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99)

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