An Euler-Maruyama method for diffusion equations with discontinuous coefficients and a family of interface conditions

DOI10.1016/J.CAM.2019.112545zbMath1443.60059OpenAlexW2982235783WikidataQ126984594 ScholiaQ126984594MaRDI QIDQ2292021

Enrique A. Thomann, Edward C. Waymire, Vrushali A. Bokil, Nathan L. Gibson, Son Luu Nguyen

Publication date: 31 January 2020

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2019.112545

zbMATH Keywords

stochastic differential equationsinterface conditionsEuler-Maruyama methoddivergence form operatorsdiscontinuous diffusion coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (6)

Bayesian inference for fractional oscillating Brownian motion ⋮ Lyapunov stability analysis for nonlinear delay systems under random effects and stochastic perturbations with applications in finance and ecology ⋮ Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations ⋮ A transformed stochastic Euler scheme for multidimensional transmission PDE ⋮ HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation ⋮ A general framework to simulate diffusions with discontinuous coefficients and local times

Uses Software

• IIMPACK

Cites Work

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