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Penalization Schemes for Reflecting Stochastic Differential Equations

✍ Scribed by Roger Pettersson


Book ID
125583271
Publisher
Bernoulli Society for Mathematical Statistics and Probability
Year
1997
Tongue
English
Weight
746 KB
Volume
3
Category
Article
ISSN
1350-7265

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πŸ“œ SIMILAR VOLUMES


Euler scheme for reflected stochastic di
✍ D. LΓ©pingle πŸ“‚ Article πŸ“… 1995 πŸ› Elsevier Science 🌐 English βš– 309 KB

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