Discretization of a class of reflected diffusion processes
type: Item
instance of: scholarly article
title: Discretization of a class of reflected diffusion processes
zbMATH Open document ID: 0828.65150
DOI: 10.1016/0378-4754(93)E0072-D
author: Yingjie Liu
published in: Mathematics and Computers in Simulation
publication date: 1995-09-04T00:00:00Z
review text: This note proposes three numerical schemes to approximate reflected diffusion processes. The first one is a penalization scheme; the two others are Euler schemes with projection and the author asserts they converge in mean square sense of order one. But some point in the given proof seems to be wrong, and the true order is known to be less than one.
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 60J60
zbMATH DE Number: 792981
zbMATH Keywords: numerical schemes
zbMATH Keywords: reflected diffusion processes
zbMATH Keywords: penalization scheme
zbMATH Keywords: Euler schemes
reviewed by: Dominique Lépingle
MaRDI profile type: Publication
cites work: Q3996259
full work available at URL: 0378-4754(93)e0072-d
OpenAlex ID: W2031774099
description: scientific article; zbMATH DE number 792981