AN EULER SCHEME FOR STOCHASTIC DIFFERENTIAL-EQUATIONS WITH BOUNDARY-CONDITIONS

被引：0

作者：

LEPINGLE, D

机构：

来源：

COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE | 1993年 / 316卷 / 06期

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D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We propose a simulation scheme for stochastic differential equations with a reflecting boundary condition. The rate of convergence is the same as in the usual Euler-Maruyama scheme, and since our domain is a half-space or an orthant, the simulation is very easy to achieve.

引用

页码：601 / 605

页数：5

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