A symmetrized Euler scheme for an efficient approximation of reflected diffusions
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Euler approximationsMonte Carlo simulationreflected diffusionstochastic differential equationsweak approximationweak convergence
Initial-boundary value problems for second-order parabolic equations (35K20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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- scientific article; zbMATH DE number 203212
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- scientific article; zbMATH DE number 203212 (Why is no real title available?)
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Cited in
(48)- A semi-Lagrangian scheme for a modified version of the Hughes' model for Pedestrian flow
- Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process
- Discretization of a class of reflected diffusion processes
- Euler scheme for reflected stochastic differential equations
- A transformed stochastic Euler scheme for multidimensional transmission PDE
- Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
- Zero-diffusion limit for aggregation equations over bounded domains
- Adaptive density estimation on bounded domains under mixing conditions
- Stochastic finite differences for elliptic diffusion equations in stratified domains
- An implementation of Milstein's method for general bounded diffusions
- Invasion and adaptive evolution for individual-based spatially structured populations
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- Euler schemes and half-space approximation for the simulation of diffusion in a domain
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- scientific article; zbMATH DE number 203212 (Why is no real title available?)
- Solving Wentzell-Dirichlet boundary value problem with superabundant data using reflecting random walk simulation
- Level set and drift estimation from a reflected Brownian motion with drift
- A parallel iterative probabilistic method for mixed problems of Laplace equations with the Feynman-Kac formula of killed Brownian motions
- A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains
- Panel Data Analysis via Mechanistic Models
- Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes
- Sticky Brownian Motion and Its Numerical Solution
- Continuous-time random walks for the numerical solution of stochastic differential equations
- Exact Monte Carlo simulation of killed diffusions
- Minimum variance importance samplingviaPopulation Monte Carlo
- Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
- On the variance of the estimate of the functional of the diffusion process in a domain with a reflecting bounry
- Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
- Efficient Bayesian Computation for Low-Photon Imaging Problems
- Can one hear the shape of a target zone?
- Home-range estimation under a restricted sample scheme
- A stochastic approach for elliptic problems in perforated domains
- Convergence error analysis of reflected gradient Langevin dynamics for non-convex constrained optimization
- Estimation and testing in generalized CIR model
- Escape-from-a-layer approach for simulating the boundary local time in Euclidean domains
- Euler scheme for SDEs driven by fractional Brownian motions: integrability and convergence in law
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- Positivity-preserving numerical scheme for the alpha-constant elasticity of variance process
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