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

Computers and Mathematics with Applications

Volumn 55, Issue 11, 2008, Pages 2413-2425

  Ding, Deng ^a   Zhang, Ying Ying ^a  

^a UNIVERSITY OF MACAU   (Macao)

Author keywords

Euler schemes; MATLAB programs; Milstein schemes; Penalization method; Reflected stochastic differential equation; Splitting step algorithm

Indexed keywords

ALGORITHMS; ERROR ANALYSIS; EULER EQUATIONS; LINEAR EQUATIONS; NUMERICAL METHODS; STOCHASTIC MODELS;

EULER SCHEMES; MATLAB PROGRAMS; MILSTEIN SCHEMES; PENALIZATION METHODS; REFLECTED STOCHASTIC DIFFERENTIAL EQUATIONS; SPLITTING STEP ALGORITHMS;

DIFFERENTIAL EQUATIONS;

EID: 41949137324     PISSN: 08981221     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.camwa.2007.08.043     Document Type: Article

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