Stochastic Theta Method for a Reflected Stochastic Differential Equation

• Published in: Numerical functional analysis and optimization Vol. 35; no. 6; pp. 752 - 776
• Main Author: Zhang, Haisen
• Format: Journal Article
• Language: English
• Published: Taylor & Francis Group 03.06.2014
• Subjects: A-stable; Convergence; Differential equations; Functional analysis; Mathematical models; Optimization; Projection; Reflected stochastic differential equation; Skorokhod problem; Stochastic theta method; Stochasticity

In this article, a stochastic theta method for a reflected stochastic differential equation is proposed. When the parameter θ = 0, this method coincides with the projection Euler scheme; while when the parameter θ = 1, it is called an implicit projection Euler scheme which is first proposed in this...