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A symmetrized Euler scheme for an efficient approximation of reflected diffusions. (English) Zbl 1076.65009

The authors consider the weak approximation of solutions of stochastic differential equations with reflection. An Euler approximation for the simulation of such solutions is suggested that uses some symmetry procedure near the reflecting boundary. It shows the order one of weak convergence. Such a method can be used for the Monte Carlo simulation of parabolic partial differential equations with reflecting boundary.

MSC:

65C30 Numerical solutions to stochastic differential and integral equations
60H15 Stochastic partial differential equations (aspects of stochastic analysis)
60H35 Computational methods for stochastic equations (aspects of stochastic analysis)
35K20 Initial-boundary value problems for second-order parabolic equations
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