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A Numerical Scheme using Excursion Theory for Simulating Stochastic Differential Equations with Reflection and Local Time at a Boundary

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  • Hausenblas Erika

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  • Hausenblas Erika, 2000. "A Numerical Scheme using Excursion Theory for Simulating Stochastic Differential Equations with Reflection and Local Time at a Boundary," Monte Carlo Methods and Applications, De Gruyter, vol. 6(2), pages 81-104, December.
    • Handle: RePEc:bpj:mcmeap:v:6:y:2000:i:2:p:81-104:n:7
    DOI: 10.1515/mcma.2000.6.2.81
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    References listed on IDEAS

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    1. Lépingle, D., 1995. "Euler scheme for reflected stochastic differential equations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 119-126.
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