A transformed stochastic Euler scheme for multidimensional transmission PDE
Publication:2029425
DOI10.1016/j.cam.2021.113551zbMath1475.65067arXiv1805.11363OpenAlexW3135434554WikidataQ114201999 ScholiaQ114201999MaRDI QIDQ2029425
Publication date: 3 June 2021
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1805.11363
stochastic differential equationsMonte Carlo methodsdivergence form operatorsEuler discretization scheme
Monte Carlo methods (65C05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Existence problems for PDEs: global existence, local existence, non-existence (35A01) PDEs with randomness, stochastic partial differential equations (35R60) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75) Classical solutions to PDEs (35A09)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- One-dimensional parabolic diffraction equations: pointwise estimates and discretization of related stochastic differential equations with weighted local times
- Dirichlet forms and symmetric Markov processes.
- Markov jump processes approximating a non-symmetric generalized diffusion
- On random walk simulation of one-dimensional diffusion processes with discontinuous coeffi\-cients
- On the constructions of the skew Brownian motion
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Markov chain approximations to symmetric diffusions
- Time inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operators
- On the weak approximation of a skew diffusion by an Euler-type scheme
- The Euler scheme for stochastic differential equations: Error analysis with Malliavin calculus
- New Monte Carlo schemes for simulating diffusions in discontinuous media
- An exponential timestepping algorithm for diffusion with discontinuous coefficients
- An Euler-Maruyama method for diffusion equations with discontinuous coefficients and a family of interface conditions
- A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
- Discretization of one-dimensional stochastic differential equations whose generators are divergence form with a discontinuous coefficient
- Monte Carlo approximations of the Neumann problem
- PARABOLIC EQUATIONS
- Continuity of Solutions of Parabolic and Elliptic Equations
- Euler schemes and half-space approximation for the simulation of diffusion in a domain
- A symmetrized Euler scheme for an efficient approximation of reflected diffusions
- Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process
- Probabilistic interpretation and random walk on spheres algorithms for the Poisson-Boltzmann equation in molecular dynamics
- Exact simulation for solutions of one-dimensional Stochastic Differential Equations with discontinuous drift
- A Donsker theorem to simulate one-dimensional processes with measurable coefficients
- A harnack inequality for parabolic differential equations
- Correetion to “A Harnack Inequality for Parabolic Differential Equations”
- Bounds for the fundamental solution of a parabolic equation
- Expansion of the global error for numerical schemes solving stochastic differential equations
