A numerical scheme using Itô excursions for simulating local time resp. stochastic differential equations with reflection

Erika Hausenblas

doi:ojm/1200788450

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Home > Journals > Osaka J. Math. > Volume 36 > Issue 1 > Article

1999 A numerical scheme using Itô excursions for simulating local time resp. stochastic differential equations with reflection

Erika Hausenblas

Osaka J. Math. 36(1): 105-137 (1999).

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Osaka J. Math.

Vol.36 • No. 1 • 1999

Osaka University and Osaka Metropolitan University, Departments of Mathematics

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Erika Hausenblas "A numerical scheme using Itô excursions for simulating local time resp. stochastic differential equations with reflection," Osaka Journal of Mathematics, Osaka J. Math. 36(1), 105-137, (1999)

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