A numerical scheme using Itô excursions for simulating local time resp. Stochastic differential equations with reflection
type: Item
instance of: scholarly article
title: A numerical scheme using Itô excursions for simulating local time resp. Stochastic differential equations with reflection
zbMATH Open document ID: 0924.65145
author: Erika Hausenblas
published in: Osaka Journal of Mathematics
publication date: 1999-11-10T00:00:00Z
review text: The author considers the problem of constructing discrete time approximations for stochastic differential equations that involve local times. These naturally occur, for instance, in the case of reflection at a boundary or for the so-called Skorochod problem. The author suggests a new numerical algorithm for simulating the local time. The rate of convergence is derived for that approximation.
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 1270304
zbMATH Keywords: discrete time approximations
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: local times
zbMATH Keywords: reflection
zbMATH Keywords: Skorochod problem
zbMATH Keywords: algorithm
zbMATH Keywords: convergence
reviewed by: Eckhard Platen
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1270304