A New Numerical Scheme for a Class of Reflected Stochastic Differential Equations

Yang, Xuewei

doi:10.2139/ssrn.1856070

Download This Paper

Open PDF in Browser

Add Paper to My Library

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

See all articles by Xuewei Yang

Xuewei Yang

Nanjing University - School of Management and Engineering; Nanjing University - Institute of New Finance

Date Written: April 11, 2010

Abstract

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

Yang, Xuewei, A New Numerical Scheme for a Class of Reflected Stochastic Differential Equations (April 11, 2010). Monte Carlo Methods and Applications, 19(4): 273--279, 2013, Available at SSRN: https://ssrn.com/abstract=1856070 or http://dx.doi.org/10.2139/ssrn.1856070