Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the maximum process
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Publication:1985372
DOI10.1515/MCMA-2020-2057zbMath1434.60169OpenAlexW3006260495MaRDI QIDQ1985372
Publication date: 7 April 2020
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma-2020-2057
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Local time and additive functionals (60J55)
Cites Work
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- On stochastic differential equations
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