Some remarks on approximation of solutions of SDE's with reflecting boundary conditions

DOI10.1016/0378-4754(93)E0073-EzbMath0824.60061OpenAlexW1977625484MaRDI QIDQ1897664

Leszek Slominski

Publication date: 6 November 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)e0073-e

zbMATH Keywords

Euler scheme for stochastic differential equationsreflection at the boundary

Mathematics Subject Classification ID

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

Related Items (2)

A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\) ⋮ Stochastic Theta Method for a Reflected Stochastic Differential Equation

Cites Work

• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• Stochastic differential equations with reflecting boundary condition in convex regions
• On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
• On existence, uniqueness and stability of solutions of multidimensional SDE's with reflecting boundary conditions
• Stochastic differential equations with reflecting boundary conditions
• Strong Solutions of Stochastic Differential Equations with Boundary Conditions
• Stochastic Equations for Diffusion Processes in a Bounded Region. II
• On lipschitz continuity of the solution mapping to the skorokhod problem, with applications
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