An implementation of Milstein's method for general bounded diffusions (Q2311990): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2901045452
@@ Property / OpenAlex ID: W2901045452 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.09785
@@ Property / arXiv ID: 1802.09785 / rank @@
+Normal rank
@@ Property / cites work @@
+Adaptive weak approximation of reflected and stopped diffusions
+Normal rank
@@ Property / cites work @@
+A multigrid-like algorithm for probabilistic domain decomposition
+Normal rank
@@ Property / cites work @@
+A Comparison of Higher-Order Weak Numerical Schemes for Stopped Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+A Stochastic Algorithm Based on Fast Marching for Automatic Capacitance Extraction in Non-Manhattan Geometries
+Normal rank
@@ Property / cites work @@
+A symmetrized Euler scheme for an efficient approximation of reflected diffusions
+Normal rank
@@ Property / cites work @@
+An Exit Probability Approach to Solving High Dimensional Dirichlet Problems
+Normal rank
@@ Property / cites work @@
+Numerical Approximation for Functionals of Reflecting Diffusion Processes
+Normal rank
@@ Property / cites work @@
+A random walk on rectangles algorithm
@@ Property / cites work: A random walk on rectangles algorithm / rank @@
+Normal rank
@@ Property / cites work @@
+Q3932291
@@ Property / cites work: Q3932291 / rank @@
+Normal rank
@@ Property / cites work @@
+Multilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusions
+Normal rank
@@ Property / cites work @@
+Methods for Modifying Matrix Factorizations
@@ Property / cites work: Methods for Modifying Matrix Factorizations / rank @@
+Normal rank
@@ Property / cites work @@
+Stopped diffusion processes: boundary corrections and overshoot
+Normal rank
@@ Property / cites work @@
+Euler schemes and half-space approximation for the simulation of diffusion in a domain
+Normal rank
@@ Property / cites work @@
+Q2803233
@@ Property / cites work: Q2803233 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5562267
@@ Property / cites work: Q5562267 / rank @@
+Normal rank
@@ Property / cites work @@
+Multilevel Richardson-Romberg extrapolation
@@ Property / cites work: Multilevel Richardson-Romberg extrapolation / rank @@
+Normal rank
@@ Property / cites work @@
+Mixed boundary value problems for elliptic and parabolic differential equations of second order
+Normal rank
@@ Property / cites work @@
+A partially reflecting random walk on spheres algorithm for electrical impedance tomography
+Normal rank
@@ Property / cites work @@
+An efficient algorithm for accelerating Monte Carlo approximations of the solution to boundary value problems
+Normal rank
@@ Property / cites work @@
+Monte Carlo Methods for Calculating Some Physical Properties of Large Molecules
+Normal rank
@@ Property / cites work @@
+Q4350396
@@ Property / cites work: Q4350396 / rank @@
+Normal rank
@@ Property / cites work @@
+Weak approximation of a diffusion process in a bounded domain
+Normal rank
@@ Property / cites work @@
+Q4826106
@@ Property / cites work: Q4826106 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5596448
@@ Property / cites work: Q5596448 / rank @@
+Normal rank
@@ Property / cites work @@
+A Guide to First-Passage Processes
@@ Property / cites work: A Guide to First-Passage Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Fast Sweeping Algorithms for a Class of Hamilton--Jacobi Equations
+Normal rank
@@ Property / Wikidata QID @@
+Q128854642
@@ Property / Wikidata QID: Q128854642 / rank @@
+Normal rank