An implementation of Milstein's method for general bounded diffusions (Q2311990): Difference between revisions
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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)
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4 July 2019
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stopped diffusion
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reflected diffusion
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Feynman-Kac formula
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stochastic numerics
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rank-one updates to matrix decompositions
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eikonal equation
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