A Euler scheme for stochastic differential equations with boundary conditions. (Un schéma d’Euler pour équations différentielles stochastiques réfléchies.) (French. Abridged English version) Zbl 0771.60046

Lépingle, Dominique

C. R. Acad. Sci., Paris, Sér. I 316, No. 6, 601-605 (1993).

Summary: We propose a simulation scheme for stochastic differential equations with a reflecting boundary condition. The rate of convergence is the same as in the usual Euler-Maruyama scheme, and since our domain is a half-space or an orthant, the simulation is very easy to achieve.

MSC:

60H15	Stochastic partial differential equations (aspects of stochastic analysis)
35R60	PDEs with randomness, stochastic partial differential equations

Keywords:

simulation scheme for stochastic differential equations; reflecting boundary condition; Euler-Maruyama scheme