The non-locality of Markov chain approximations to two-dimensional diffusions

DOI10.1016/J.MATCOM.2016.06.001zbMath1484.60087arXiv1605.06348OpenAlexW2963740785MaRDI QIDQ1996948

Christoph Reisinger

Publication date: 1 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.06348

zbMATH Keywords

Markov chain approximationsmonotone finite difference schemestwo-dimensional diffusions

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40) Diffusion processes (60J60) Applications of difference equations (39A60)

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