Efficient schemes for the weak approximation of reflected diffusions

Monte Carlo Methods and Applications

Volumn 7, Issue 1-2, 2001, Pages 193-202

  Gobet, Emmanuel ^a  

^a CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

Author keywords

Euler scheme; PDE's with Neumann conditions; Reflected SDE; Weak convergence

Indexed keywords

EID: 10244226450     PISSN: 09299629     EISSN: 15693961     Source Type: Journal    
DOI: 10.1515/mcma.2001.7.1-2.193     Document Type: Article

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