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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
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
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