A new numerical scheme for a class of reflected stochastic differential equations
نویسنده
چکیده
6 We propose a new numerical scheme for a class of one-dimensional reflected stochastic differential equations (SDEs) by virtue of their explicit solutions, which enables us to carry out the simulation of this class of reflected SDEs by simulating some related SDEs without reflections. The new scheme yields the same order of convergence as the scheme for the SDEs without reflections.
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ورودعنوان ژورنال:
- Monte Carlo Meth. and Appl.
دوره 19 شماره
صفحات -
تاریخ انتشار 2013