A Numerical Scheme using Excursion Theory for Simulating Stochastic Differential Equations with Reflection and Local Time at a Boundary

DOI10.1515/mcma.2000.6.2.81zbMath0960.65009OpenAlexW1985106424WikidataQ59225752 ScholiaQ59225752MaRDI QIDQ4504225

Erika Hausenblas

Publication date: 11 January 2001

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2000.6.2.81

zbMATH Keywords

convergenceBrownian motionstochastic differential equationsMonte Carlo methodlocal timeEuler schemeexcursionreflection at boundaryreflection diffusion process

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Numerical solutions to stochastic differential and integral equations (65C30)

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