An Approximation Scheme for Reflected Stochastic Differential Equations with Non-Lipschitzian Coefficients
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DOI: 10.1007/s10959-020-01052-7
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- Lan, Guangqiang & Wu, Jiang-Lun, 2014. "New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients," Stochastic Processes and their Applications, Elsevier, vol. 124(12), pages 4030-4049.
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Keywords
Stochastic differential equations; Reflecting boundary; Non-Lipschitzian coefficients; Penalization Euler scheme;All these keywords.
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