Some remarks on approximation of solutions of SDE's with reflecting boundary conditions

Let D be either a convex domain in Rd or a domain satisfying the conditions (A) and (B) considered by Lions and Sznitman (1981) and Saisho (1987). We estimate the rate of convergence for Euler scheme for stochastic differential equations in D with normal reflection at the boundary of the form where W is a d-dimensional Wiener process.

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Year of publication:	1995
Authors:	Słomiński, Leszek
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 38.1995, 1, p. 109-117
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011050295