论文信息 - Efficient schemes for the weak approximation of reflected diffusions

Efficient schemes for the weak approximation of reflected diffusions

In this paper, we present two new discretization schemes for reflected stochastic diSerential equations: their constructions are aimed to achieve the order l for the weak convergence, under some conditions, improving the classical order 1/2 obtained with the projected Euler scheme (see Constantini et al. [4]). We discuss the approximation of functionals of the reflected SDE, when the time interval is finite or infinite (i.e. stationary problem).

Emmanuel Gobet | E. Gobet

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