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Euler scheme for reflected stochastic differential equations

✍ Scribed by D. Lépingle

Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
309 KB
Volume
38
Category
Article
ISSN
0378-4754

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✦ Synopsis

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 permet de simuler les solutions d'6quations diff6rentielles stochastiques r6fl6chies sur des hyperplans parall~les aux axes avec le mSme ordre de convergence qu'en absence de r6flexion.

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