Using some exponential variables in the time discretization of some reflected stochastic differential equations yields the same rate of convergence as in the usual Euler-Maruyama scheme. L'utilisation ~ chaque pas d'une nouvelle variable exponentielle ind6pendante des accroissements browniens perme
✦ LIBER ✦
Derandomization of the Euler scheme for scalar stochastic differential equations
✍ Scribed by Thomas Müller-Gronbach; Klaus Ritter; Larisa Yaroslavtseva
- Book ID
- 113689551
- Publisher
- Elsevier Science
- Year
- 2012
- Tongue
- English
- Weight
- 253 KB
- Volume
- 28
- Category
- Article
- ISSN
- 0885-064X
No coin nor oath required. For personal study only.
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