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Euler scheme for reflected stochastic differential equations. (English) Zbl 0824.60062
Summary: 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.

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
65C99 Probabilistic methods, stochastic differential equations
Full Text: DOI
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