Euler schemes and half-space approximation for the simulation of diffusion in a domain (Q4534853): Difference between revisions

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+Exact asymptotics for the probability of exit from a domain and applications to simulation
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+The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
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+A symmetrized Euler scheme for an efficient approximation of reflected diffusions
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+Hypoellipticité et hypoellipticité partielle pour les diffusions avec une condition frontière (Hypoellipticity and partial hypoellipticity for diffusions with a boundary condition)
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+Regularite au bord pour les densites et les densites conditionnelles d'une diffusion reflechie hypoeiliptique
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+Elliptic Partial Differential Equations of Second Order
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+Efficient schemes for the weak approximation of reflected diffusions
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+A Numerical Scheme using Excursion Theory for Simulating Stochastic Differential Equations with Reflection and Local Time at a Boundary
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+Euler scheme for reflected stochastic differential equations
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+Stochastic differential equations with reflecting boundary conditions
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+Symmetric reflected diffusions
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+On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
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