A symmetrized Euler scheme for an efficient approximation of reflected diffusions
From MaRDI portal
Monte Carlo simulationweak convergencestochastic differential equationsweak approximationreflected diffusionEuler approximations
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Initial-boundary value problems for second-order parabolic equations (35K20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Recommendations
- Efficient schemes for the weak approximation of reflected diffusions
- Adaptive weak approximation of reflected and stopped diffusions
- Numerical Approximation for Functionals of Reflecting Diffusion Processes
- Euler's Approximations of Weak Solutions of Reflecting SDEs with Discontinuous Coefficients
- scientific article; zbMATH DE number 203212
Cites work
- scientific article; zbMATH DE number 3774629 (Why is no real title available?)
- scientific article; zbMATH DE number 635670 (Why is no real title available?)
- scientific article; zbMATH DE number 1055651 (Why is no real title available?)
- scientific article; zbMATH DE number 203212 (Why is no real title available?)
- Approximations for stochastic differential equations with reflecting convex boundaries
- Combined estimates of the Monte Carlo method for the third boundary value problem for a parabolic-type equation
- Efficient schemes for the weak approximation of reflected diffusions
- Euler scheme for reflected stochastic differential equations
- Euler schemes and half-space approximation for the simulation of diffusion in a domain
- Expansion of the global error for numerical schemes solving stochastic differential equations
- Functional Integration and Partial Differential Equations. (AM-109)
- Numerical Approximation for Functionals of Reflecting Diffusion Processes
- On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
- Penalization schemes for reflecting stochastic differential equations
- Stochastic differential equations for multi-dimensional domain with reflecting boundary
- Stochastic differential equations with reflecting boundary conditions
- Strong Approximation of Reflecting Brownian Motion Using Penalty Method and its Application to Cumputer Simulation
- The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
- Weak approximation of killed diffusion using Euler schemes.
Cited in
(47)- Stochastic finite differences for elliptic diffusion equations in stratified domains
- Can one hear the shape of a target zone?
- Numerical Approximation for Functionals of Reflecting Diffusion Processes
- Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
- Efficient Bayesian Computation for Low-Photon Imaging Problems
- Well-posedness and approximation of reflected McKean-Vlasov SDEs with applications
- Minimum variance importance samplingviaPopulation Monte Carlo
- Discretization of a class of reflected diffusion processes
- A semi-Lagrangian scheme for a modified version of the Hughes' model for Pedestrian flow
- Panel Data Analysis via Mechanistic Models
- Positivity-preserving numerical scheme for the alpha-constant elasticity of variance process
- Adaptive density estimation on bounded domains under mixing conditions
- Sticky Brownian Motion and Its Numerical Solution
- Adaptive weak approximation of reflected and stopped diffusions
- scientific article; zbMATH DE number 203212 (Why is no real title available?)
- Error bounds for one-dimensional constrained Langevin approximations for nearly density-dependent Markov chains
- Continuous-time random walks for the numerical solution of stochastic differential equations
- A transformed stochastic Euler scheme for multidimensional transmission PDE
- On constrained Langevin equations and (bio)chemical reaction networks
- Zero-diffusion limit for aggregation equations over bounded domains
- Home-range estimation under a restricted sample scheme
- Level set and drift estimation from a reflected Brownian motion with drift
- Multivalued monotone stochastic differential equations with jumps
- A parallel iterative probabilistic method for mixed problems of Laplace equations with the Feynman-Kac formula of killed Brownian motions
- A stochastic approach for elliptic problems in perforated domains
- Efficient schemes for the weak approximation of reflected diffusions
- Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
- Euler scheme for reflected stochastic differential equations
- Solving Wentzell-Dirichlet boundary value problem with superabundant data using reflecting random walk simulation
- Simulation of reflected Brownian motion on two dimensional wedges
- Euler scheme for SDEs driven by fractional Brownian motions: integrability and convergence in law
- Monte Carlo Simulation of Reflected Stochastic Differential Equations driven by Poisson Random Measures
- Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
- Exact Monte Carlo simulation of killed diffusions
- Convergence error analysis of reflected gradient Langevin dynamics for non-convex constrained optimization
- Invasion and adaptive evolution for individual-based spatially structured populations
- On the variance of the estimate of the functional of the diffusion process in a domain with a reflecting bounry
- An implementation of Milstein's method for general bounded diffusions
- Estimation and testing in generalized CIR model
- Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes
- Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process
- Numerical solution for a class of SPDEs over bounded domains
- Simulation of diffusions by means of importance sampling paradigm
- Invariant density estimation for a reflected diffusion using an Euler scheme
- Escape-from-a-layer approach for simulating the boundary local time in Euclidean domains
- A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains
- Euler schemes and half-space approximation for the simulation of diffusion in a domain
This page was built for publication: A symmetrized Euler scheme for an efficient approximation of reflected diffusions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4668006)
