Adaptive weak approximation of reflected and stopped diffusions

DOI10.1515/MCMA.2010.001zbMath1196.65029MaRDI QIDQ3564644

Raúl Tempone, Christian Bayer, Anders Szepessy

Publication date: 26 May 2010

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

zbMATH Keywords

numerical examplesNeumann boundary conditionadaptive algorithmweak approximationEuler schemereflected diffusionstopped diffusion

Mathematics Subject Classification ID

Heat equation (35K05) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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• Adaptive weak approximation of stochastic differential equations
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