Euler scheme for reflected stochastic differential equations

D. Lépingle

Mathematics and Computers in Simulation (MATCOM), 1995, vol. 38, issue 1, 119-126

Abstract: Using some exponential variables in the time discretization of some reflected stochastic differential equations yields the same rate of convergence as in the usual Euler-Maruyama scheme.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:38:y:1995:i:1:p:119-126

DOI: 10.1016/0378-4754(93)E0074-F

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