A New Numerical Scheme for a Class of Reflected Stochastic Differential Equations

We propose a new numerical scheme for a class of one-dimensional reflected stochastic differential equations (SDEs) by virtue of their explicit solutions, which enables us to carry out the simulation of this class of reflected SDEs by simulating some related SDEs without reflections. The new scheme yields the same order of convergence as the scheme for the SDEs without reflections

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Year of publication:	2014
Authors:	Yang, Xuewei
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Stochastischer Prozess \| Stochastic process \| Analysis \| Mathematical analysis

Extent:	1 Online-Ressource (6 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Monte Carlo Methods and Applications, 19(4): 273--279, 2013 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 11, 2010 erstellt
Other identifiers:	10.2139/ssrn.1856070 [DOI]
Classification:	C22 - Time-Series Models ; C24 - Truncated and Censored Models ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013067939