An implementation of Milstein's method for general bounded diffusions (Q2311990): Difference between revisions
From MaRDI portal
Revision as of 18:59, 19 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | An implementation of Milstein's method for general bounded diffusions |
scientific article |
Statements
An implementation of Milstein's method for general bounded diffusions (English)
0 references
4 July 2019
0 references
stopped diffusion
0 references
reflected diffusion
0 references
Feynman-Kac formula
0 references
stochastic numerics
0 references
rank-one updates to matrix decompositions
0 references
eikonal equation
0 references
0 references
0 references
0 references
0 references
0 references
0 references