Adaptive weak approximation of reflected and stopped diffusions (Q3564644): Difference between revisions

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+Discretization error in simulation of one-dimensional reflecting Brownian motion
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+A symmetrized Euler scheme for an efficient approximation of reflected diffusions
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+On the Lambert \(w\) function
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+Numerical Approximation for Functionals of Reflecting Diffusion Processes
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+Multilevel Monte Carlo Path Simulation
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+Weak approximation of killed diffusion using Euler schemes.
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+Euler schemes and half-space approximation for the simulation of diffusion in a domain
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+Convergence Rates for Adaptive Weak Approximation of Stochastic Differential Equations
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+Stochastic differential equations for multi-dimensional domain with reflecting boundary
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+Euler's approximations of solutions of SDEs with reflecting boundary.
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+Adaptive weak approximation of stochastic differential equations
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+Expansion of the global error for numerical schemes solving stochastic differential equations
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