Pages that link to "Item:Q850400"
From MaRDI portal
The following pages link to On random walk simulation of one-dimensional diffusion processes with discontinuous coeffi\-cients (Q850400):
Displayed 28 items.
- An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers (Q254492) (← links)
- The snapping out Brownian motion (Q303968) (← links)
- The parametrix method for skew diffusions (Q309004) (← links)
- Markov jump processes approximating a non-symmetric generalized diffusion (Q647501) (← links)
- Simulating diffusions with piecewise constant coefficients using a kinetic approximation (Q658805) (← links)
- Time inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operators (Q1639671) (← links)
- Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero (Q1713855) (← links)
- Statistical estimation of the oscillating Brownian motion (Q1750094) (← links)
- Modeling the diffusion of heat energy within composites of homogeneous materials using the uncertainty principle (Q1993560) (← links)
- Diagonalization of 1-D differential operators with piecewise constant coefficients using the uncertainty principle (Q1997334) (← links)
- One-dimensional heat equation with discontinuous conductance (Q2018910) (← links)
- A transformed stochastic Euler scheme for multidimensional transmission PDE (Q2029425) (← links)
- On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time (Q2099271) (← links)
- Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise (Q2135187) (← links)
- An exponential timestepping algorithm for diffusion with discontinuous coefficients (Q2222463) (← links)
- Stochastic finite differences for elliptic diffusion equations in stratified domains (Q2228762) (← links)
- Extreme at-the-money skew in a local volatility model (Q2274223) (← links)
- An Euler-Maruyama method for diffusion equations with discontinuous coefficients and a family of interface conditions (Q2292021) (← links)
- Spatial quadratic variations for the solution to a stochastic partial differential equation with elliptic divergence form operator (Q2337821) (← links)
- Simulating diffusion processes in discontinuous media: benchmark tests (Q2375139) (← links)
- Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps (Q2446752) (← links)
- Stochastic heat equation with piecewise constant coefficients and generalized fractional type noise (Q5153156) (← links)
- Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients (Q5197539) (← links)
- One-dimensional stochastic heat equation with discontinuous conductance (Q5228873) (← links)
- A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA (Q5384680) (← links)
- A Donsker theorem to simulate one-dimensional processes with measurable coefficients (Q5429606) (← links)
- On Probabilistic Analytical and Numerical Approaches for Divergence Form Operators with Discontinuous Coefficients (Q5497098) (← links)
- On the convergence order of a binary tree approximation of symmetrized diffusion processes (Q6108197) (← links)