A New Numerical Scheme for a Class of Reflected Stochastic Differential Equations
Monte Carlo Methods and Applications, 19(4): 273--279, 2013
6 Pages Posted: 31 May 2011 Last revised: 4 Feb 2014
Date Written: April 11, 2010
We propose a new numerical scheme for a class of one-dimensional reflected stochastic differential equations (SDEs) by virtue of their explicit solutions, which enables us to carry out the simulation of this class of reflected SDEs by simulating some related SDEs without reflections. The new scheme yields the same order of convergence as the scheme for the SDEs without reflections.
Keywords: Stochastic differential equations, Reflecting boundary, Numerical scheme, Simulation, Ornstein-Uhlenbeck processes
JEL Classification: C22, C24, G13
Suggested Citation: Suggested Citation