Stochastic Theta Method for a Reflected Stochastic Differential Equation |
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| Authors: | Haisen Zhang |
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| Affiliation: | 1. School of Mathematics , Sichuan University , Chengdu , P. R. China haisenzhang@yeah.net |
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| Abstract: | 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 article. Under some conditions, the strong convergence and the A-stability of this numerical scheme are proved. |
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| Keywords: | A-stable Reflected stochastic differential equation Skorokhod problem Stochastic theta method |
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