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Approximating systems of differential equations with random inputs or boundary conditions. (English) Zbl 0907.60055
Authors’ abstract: It is not very easy to get reasonable simulation schemes with high order of convergence for reflected stochastic differential equations, because of the intricate behavior of the diffusion near the boundary. But a simple Milstein-type scheme can be performed if diffusion and reflection act in separate directions; this is the case in many practical situations, some of which are presented.
MSC:
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
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