Pages that link to "Item:Q1877395"
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The following pages link to Weak approximation of killed diffusion using Euler schemes. (Q1877395):
Displaying 50 items.
- Computing transition rates for the 1-D stochastic Ginzburg-Landau-Allen-Cahn equation for finite-amplitude noise with a rare event algorithm (Q271705) (← links)
- Numerical computation for backward doubly SDEs with random terminal time (Q308407) (← links)
- Multiresolution Hilbert approach to multidimensional Gauss-Markov processes (Q413918) (← links)
- A semigroup expansion for pricing barrier options (Q462410) (← links)
- Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes (Q515534) (← links)
- Strong approximations of BSDEs in a domain (Q605887) (← links)
- A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries (Q643719) (← links)
- Exact simulation of jump-diffusion processes with Monte Carlo applications (Q660166) (← links)
- Simulation of stopped diffusions (Q703771) (← links)
- Statistical behaviour of adaptive multilevel splitting algorithms in simple models (Q728954) (← links)
- Domain decomposition solution of nonlinear two-dimensional parabolic problems by random trees (Q834101) (← links)
- Computing the principal eigenvalue of the Laplace operator by a stochastic method (Q870438) (← links)
- First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes (Q898953) (← links)
- Computing the principal eigenelements of some linear operators using a branching Monte Carlo method (Q956335) (← links)
- Unconstrained recursive importance sampling (Q988764) (← links)
- Simulation of diffusions by means of importance sampling paradigm (Q990386) (← links)
- Numerical error for SDE: Asymptotic expansion and hyperdistributions (Q1408179) (← links)
- Stochastic approximation of quasi-stationary distributions on compact spaces and applications (Q1617129) (← links)
- Diffusion transformations, Black-Scholes equation and optimal stopping (Q1617159) (← links)
- An analytical approximation for single barrier options under stochastic volatility models (Q1621902) (← links)
- A semi-Lagrangian scheme for a modified version of the Hughes' model for Pedestrian flow (Q1697419) (← links)
- Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo (Q1702290) (← links)
- Probabilistic domain decomposition for the solution of the two-dimensional magnetotelluric problem (Q1702338) (← links)
- Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process (Q1713467) (← links)
- Binomial approximation of Brownian motion and its maximum (Q1771464) (← links)
- A numerical scheme for expectations with first hitting time to smooth boundary (Q2011048) (← links)
- The PDD method for solving linear, nonlinear, and fractional PDEs problems (Q2050309) (← links)
- Exact simulation of the first passage time through a given level of jump diffusions (Q2079352) (← links)
- Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation (Q2103028) (← links)
- A Feynman-Kac based numerical method for the exit time probability of a class of transport problems (Q2132650) (← links)
- The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate (Q2141948) (← links)
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation (Q2165398) (← links)
- Modelling net carrying amount of shares for market consistent valuation of life insurance liabilities (Q2195954) (← links)
- Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance (Q2211897) (← links)
- Reduction of a stochastic model of gene expression: Lagrangian dynamics gives access to basins of attraction as cell types and metastabilty (Q2244910) (← links)
- Stopped diffusion processes: boundary corrections and overshoot (Q2267543) (← links)
- Integration by parts formula for killed processes: a point of view from approximation theory (Q2274216) (← links)
- Large deviations of conditioned diffusions and applications (Q2301479) (← links)
- Exact simulation of the first-passage time of diffusions (Q2316185) (← links)
- Symmetrization associated with hyperbolic reflection principle (Q2333272) (← links)
- Parallel stochastic methods for PDE based grid generation (Q2397221) (← links)
- Digital barrier options pricing: an improved Monte Carlo algorithm (Q2398005) (← links)
- Approximation for non-smooth functionals of stochastic differential equations with irregular drift (Q2405375) (← links)
- Barrier option pricing under the 2-hypergeometric stochastic volatility model (Q2406299) (← links)
- Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps (Q2446752) (← links)
- Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme (Q2454403) (← links)
- Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme (Q2485773) (← links)
- Large deviation approaches for the numerical computation of the hitting probability for Gaussian processes (Q2516390) (← links)
- Probabilistically induced domain decomposition methods for elliptic boundary-value problems (Q2568061) (← links)
- Recent advances in various fields of numerical probability (Q2786538) (← links)
