Discrete Approximations of Strong Solutions of Reflecting SDEs with Discontinuous Coefficients
From MaRDI portal
Publication:3184383
DOI10.4064/ba57-2-10zbMath1256.65005OpenAlexW2032960685MaRDI QIDQ3184383
Publication date: 14 October 2009
Published in: Bulletin of the Polish Academy of Sciences Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4064/ba57-2-10
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)
Related Items (5)
On the pathwise uniqueness of solutions of one-dimensional reflected stochastic differential equations with jumps ⋮ Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm ⋮ Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift ⋮ On approximation of solutions of one-dimensional reflecting SDEs with discontinuous coefficients ⋮ Reconstruction algorithm for unknown cavities via Feynman-Kac type formula
This page was built for publication: Discrete Approximations of Strong Solutions of Reflecting SDEs with Discontinuous Coefficients
