Approximations for stochastic differential equations with reflecting convex boundaries-Reference-Cited by-同舟云学术

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Approximations for stochastic differential equations with reflecting convex boundaries

Published:1995-10 Issue:2 Volume:59 Page:295-308
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Pettersson Roger

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference15 articles.

1. Discretization error in simulation of one dimensional reflecting Brownian motion;Asmussen,1994

2. Strong solutions of stochastic differential equations with boundary conditions;Chitashvili;Stochastics,1981

3. On Lipschitz continuity of the solution mapping to the Skorohod problem, with applications;Dupuis;Stochastics,1991

4. Thesis;Kinkladze,1983

5. Numerical Solution of Stochastic Differential Equations;Kloeden,1992

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