Discretization of a class of reflected diffusion processes

Yingjie Liu

Mathematics and Computers in Simulation (MATCOM), 1995, vol. 38, issue 1, 103-108

Abstract: We propose three strong schemes for a class of reflected diffusion processes on different domains and show their rates of covergence.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:38:y:1995:i:1:p:103-108

DOI: 10.1016/0378-4754(93)E0072-D

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