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
The law of the Euler scheme for stochastic differential equations
β Scribed by V. Bally; D. Talay
- Publisher
- Springer
- Year
- 1996
- Tongue
- English
- Weight
- 789 KB
- Volume
- 104
- Category
- Article
- ISSN
- 1432-2064
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π SIMILAR VOLUMES
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