A new numerical scheme for a class of reflected stochastic differential equations

Yang Xuewei ()
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Yang Xuewei: School of Management and Engineering, Nanjing University, Nanjing 210093, P. R. China

Monte Carlo Methods and Applications, 2013, vol. 19, issue 4, 273-279

Abstract: 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 SDEs without reflections.

Keywords: Stochastic differential equations; reflecting boundary; numerical scheme; simulation; Ornstein–Uhlenbeck processes (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1515/mcma-2013-0011

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