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Reflected backward stochastic differential equations in an orthant

✍ Scribed by S. Ramasubramanian


Publisher
Indian Academy of Sciences
Year
2002
Tongue
English
Weight
150 KB
Volume
112
Category
Article
ISSN
0253-4142

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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