A splitting-step algorithm for reflected stochastic differential equations in <mml:math altimg="si31.gif" display="inline" overflow="scroll" xmlns:xocs="http://www.elsevier.com/xml/xocs/dtd" xmlns:xs="http://www.w3.org/2001/XMLSchema" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns="http://www.elsevier.com/xml/ja/dtd" xmlns:ja="http://www.elsevier.com/xml/ja/dtd" xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:tb="http://www.elsevier.com/xml/common/table/dtd" xmlns:sb="http://www.elsevier.com/xml/common/struct-bib/dtd" xmlns:ce="http://www.elsevier.com/xml/common/dtd" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:cals="http://www.elsevier.com/xml/common/cals/dtd"><mml:msubsup><mml:mrow><mml:mi mathvariant="double-struck">R</mml:mi></mml:mrow><mml:mrow><mml:mo>+</mml:mo></mml:mrow><mml:mrow><mml:mn>1</mml:mn></mml:mrow></mml:msubsup></mml:math>-Reference-Cited by-同舟云学术

A splitting-step algorithm for reflected stochastic differential equations in R+1

Author:

Ding Deng,Zhang Ying Ying

Publisher

Elsevier BV

Subject

Computational Mathematics,Computational Theory and Mathematics,Modelling and Simulation

Reference23 articles.

1. Function Integration and Partial Differential Equation;Freidlin,1985

2. Probabilistic numerical methods for partial differential equations: Elements of analysis;Talay,1996

4. Employing stochastic differential equations to model wildlife motion;Brillinger;Bulletin of the Brazilian Mathematical Society, New Series,2002

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