Discretization of a class of reflected diffusion processes

DOI10.1016/0378-4754(93)E0072-DzbMath0828.65150OpenAlexW2031774099MaRDI QIDQ1897663

Yingjie Liu

Publication date: 4 September 1995

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-4754(93)e0072-d

zbMATH Keywords

numerical schemesEuler schemesreflected diffusion processespenalization scheme

Mathematics Subject Classification ID

Diffusion processes (60J60) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

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