A symmetrized Euler scheme for an efficient approximation of reflected diffusions

Journal of Applied Probability

Volumn 41, Issue 3, 2004, Pages 877-889

  Bossy, Mireille ^a   Gobet, Emmanuel ^b,c   Talay, Denis ^a  

^a INRIA   (France)

^b ECOLE POLYTECHNIQUE   (France)

^c CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

Author keywords

Discretization scheme; Neumann boundary condition for parabolic PDE; Reflected diffusion; Weak approximation

Indexed keywords

EID: 10244256462     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1091543431     Document Type: Article

References (25)

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