Numerical approximation for functionals of reflecting diffusion processes

SIAM Journal on Applied Mathematics

Volumn 58, Issue 1, 1998, Pages 73-102

  Costantini, C ^a   Pacchiarotti, B ^b   Sartoretto, F ^c  

^a UNIVERSITY OF CHIETI   (Italy)

^b SAPIENZA UNIVERSITY OF ROME   (Italy)

^c CA' FOSCARI UNIVERSITY OF VENICE   (Italy)

Author keywords

Mixed boundary conditions; Monte Carlo method; Neumann boundary conditions; Numerical schemes; Reflecting boundary conditions; Stochastic differential equations with reflection; Weak convergence

Indexed keywords

APPROXIMATION THEORY; BOUNDARY CONDITIONS; CONVERGENCE OF NUMERICAL METHODS; DIFFUSION; ERROR ANALYSIS; MONTE CARLO METHODS; PROBLEM SOLVING; RANDOM PROCESSES;

NEUMANN BOUNDARY CONDITIONS; STOCHASTIC DIFFERENTIAL EQUATIONS;

DIFFERENTIAL EQUATIONS;

EID: 0031997542     PISSN: 00361399     EISSN: None     Source Type: Journal    
DOI: 10.1137/s0036139995291040     Document Type: Article

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