A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\)

DOI10.1016/j.camwa.2007.08.043zbMath1142.65307OpenAlexW2003831796MaRDI QIDQ945137

Deng Ding, Ying-Ying Zhang

Publication date: 11 September 2008

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2007.08.043

zbMATH Keywords

penalization methodEuler schemesreflected stochastic differential equationMATLAB programsMilstein schemessplitting-step algorithm

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Numerical schemes for multivalued backward stochastic differential systems ⋮ Stochastic Theta Method for a Reflected Stochastic Differential Equation

Uses Software

• Matlab

Cites Work

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• Stochastic differential equations with reflecting boundary conditions
• Strong Solutions of Stochastic Differential Equations with Boundary Conditions
• Penalization methods for reflecting stochastic differential equations with jumps
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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