Euler scheme for reflected stochastic differential equations
type: Item
instance of: scholarly article
title: Euler scheme for reflected stochastic differential equations
zbMATH Open document ID: 0824.60062
DOI: 10.1016/0378-4754(93)E0074-F
published in: Mathematics and Computers in Simulation
publication date: 1995-10-31T00:00:00Z
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 65C99
zbMATH DE Number: 792983
zbMATH Keywords: reflected stochastic differential equations
zbMATH Keywords: rate of convergence
zbMATH Keywords: Euler- Maruyama scheme
author: Dominique Lépingle
MaRDI profile type: Publication
cites work: Strong Solutions of Stochastic Differential Equations with Boundary Conditions
cites work: Q4004325
cites work: Q4695110
cites work: Stochastic differential equations with reflecting boundary conditions
cites work: Discretization and simulation of stochastic differential equations
cites work: Stochastic differential equations for multi-dimensional domain with reflecting boundary
cites work: Exponential models, brownian motion, and independence
cites work: The joint density of the maximum and its location for a Wiener process with drift
cites work: On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
full work available at URL: 0378-4754(93)e0074-f
OpenAlex ID: W2035778499
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description: scientific article; zbMATH DE number 792983