IDEAS home Printed from https://ideas.repec.org/a/eee/matcom/v38y1995i1p119-126.html
   My bibliography  Save this article

Euler scheme for reflected stochastic differential equations

Author

Listed:
  • Lépingle, D.

Abstract

Using some exponential variables in the time discretization of some reflected stochastic differential equations yields the same rate of convergence as in the usual Euler-Maruyama scheme.

Suggested Citation

  • Lépingle, D., 1995. "Euler scheme for reflected stochastic differential equations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 119-126.
    • Handle: RePEc:eee:matcom:v:38:y:1995:i:1:p:119-126
    DOI: 10.1016/0378-4754(93)E0074-F
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0378475493E0074F
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/0378-4754(93)E0074-F?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Wu, Shujin & Han, Dong, 2007. "Algorithmic analysis of Euler scheme for a class of stochastic differential equations with jumps," Statistics & Probability Letters, Elsevier, vol. 77(2), pages 211-219, January.
    2. Bo, Lijun & Yang, Xuewei, 2012. "Sequential maximum likelihood estimation for reflected generalized Ornstein–Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1374-1382.
    3. Fusai, Gianluca & Luciano, Elisa, 2001. "Dynamic value at risk under optimal and suboptimal portfolio policies," European Journal of Operational Research, Elsevier, vol. 135(2), pages 249-269, December.
    4. 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.
    5. Costantini, C., 1999. "Variance reduction by antithetic random numbers of Monte Carlo methods for unrestricted and reflecting diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 51(1), pages 1-17.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:matcom:v:38:y:1995:i:1:p:119-126. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.