一类具有随机反射边界的随机微分方程(Ⅱ)

Stochastic Differential Equations with a Stochastic Reflecting Boundary (Ⅱ)

得到一个关于一类具有反射边界的随机微分方程解的的迭代算法 ,该类方程的反射边界是随机的而且随时间变化 .

An iterated algorithm for numerical solution of one class of stochastic differential equations, which has a stochastic and moving reflecting boundary, is obtained. The approximation problem of such algorithm is discussed, and an estimate of the convergence rate is obtained.