Some remarks on approximation of solutions of SDE's with reflecting boundary conditions

Leszek Słomiński

Mathematics and Computers in Simulation (MATCOM), 1995, vol. 38, issue 1, 109-117

Abstract: Let D be either a convex domain in Rd or a domain satisfying the conditions (A) and (B) considered by Lions and Sznitman (1981) and Saisho (1987). We estimate the rate of convergence for Euler scheme for stochastic differential equations in D with normal reflection at the boundary of the form where W is a d-dimensional Wiener process.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:38:y:1995:i:1:p:109-117

DOI: 10.1016/0378-4754(93)E0073-E

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