Penalization schemes for reflecting stochastic differential equations
Pettersson, Roger
Bernoulli, Tome 3 (1997) no. 3, p. 403-414 / Harvested from Project Euclid
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We consider discrete penalization schemes for reflecting stochastic differential equations. The convergence results obtained by Liu are generalized and refined. We also compare the penalization schemes with a more well-known recursive projection scheme.
Publié le : 1997-12-14
Classification:  penalization schemes,  reflections,  stochastic differential equations 
@article{1175882215,
     author = {Pettersson, Roger},
     title = {Penalization schemes for reflecting stochastic differential equations},
     journal = {Bernoulli},
     volume = {3},
     number = {3},
     year = {1997},
     pages = { 403-414},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1175882215}
}

Pettersson, Roger. Penalization schemes for reflecting stochastic differential equations. Bernoulli, Tome 3 (1997) no. 3, pp.  403-414. http://gdmltest.u-ga.fr/item/1175882215/