A symmetrized Euler scheme for an efficient approximation of reflected diffusions

DOI10.1239/jap/1091543431zbMath1076.65009OpenAlexW2041380444MaRDI QIDQ4668006

Mireille Bossy, Denis Talay, Emmanuel Gobet

Publication date: 18 April 2005

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1091543431

zbMATH Keywords

weak convergencestochastic differential equationsMonte Carlo simulationweak approximationreflected diffusionEuler approximations

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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