An exponential timestepping algorithm for diffusion with discontinuous coefficients
From MaRDI portal
Recommendations
- An explicit discontinuous Galerkin scheme with local time-stepping for general unsteady diffusion equations
- Exponential difference schemes for a convection-diffusion equation
- Exponential Time Integrators for Unsteady Advection–Diffusion Problems on Refined Meshes
- Time-stepping discontinuous Galerkin methods for fractional diffusion problems
- Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps
- Nonoverlapping localized exponential time differencing methods for diffusion problems
- A class of domain decomposition based nonlinear explicit-implicit iteration algorithms for solving diffusion equations with discontinuous coefficient
- Exponential difference schemes for solution of boundary problems for diffusion-convection equations
- Extension of an exponential discretization scheme to multidimensional convection-diffusion problems
Cites work
- scientific article; zbMATH DE number 3954145 (Why is no real title available?)
- scientific article; zbMATH DE number 3447884 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- A Donsker theorem to simulate one-dimensional processes with measurable coefficients
- A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
- An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers
- Corrections: occupation and local times for skew Brownian motion with applications to dispersion across an interface
- DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE
- Differential movement and movement bias models for marine protected areas
- Diffusion models for population dynamics incorporating individual behavior at boundaries: Applications to refuge design
- Efficient numerical solution of stochastic differential equations using exponential timestepping
- Elementary Solutions for Certain Parabolic Partial Differential Equations
- Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process
- Exponential Timestepping with Boundary Test for Stochastic Differential Equations
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches
- Improved simulation techniques for first exit time of neural diffusion models
- Multidimensional Exponential Timestepping with Boundary Test
- On random walk simulation of one-dimensional diffusion processes with discontinuous coeffi\-cients
- On the Exponential Formulas of Semi-Group Theory.
- Probabilistic interpretation and random walk on spheres algorithms for the Poisson-Boltzmann equation in molecular dynamics
- Quiet direct simulation Monte-Carlo with random timesteps
- Semigroups of linear operators and applications to partial differential equations
- Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps
- Simulating diffusion processes in discontinuous media: benchmark tests
- Skew Ornstein-Uhlenbeck processes and their financial applications
- Tail bounds for sums of geometric and exponential variables
- Three-dimensional modeling of mass transfer in porous media using the mixed hybrid finite elements and the random-walk methods
Cited in
(17)- Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance
- Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients
- Simulating a diffusion on a graph. Application to reservoir engineering
- On random walk simulation of one-dimensional diffusion processes with discontinuous coeffi\-cients
- Wasserstein convergence rates for random bit approximations of continuous Markov processes
- Simulation of a stochastic process in a discontinuous layered medium
- Simulating diffusion processes in discontinuous media: benchmark tests
- scientific article; zbMATH DE number 1777534 (Why is no real title available?)
- A transformed stochastic Euler scheme for multidimensional transmission PDE
- A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
- A general framework to simulate diffusions with discontinuous coefficients and local times
- Properties of the EMCEL scheme for approximating irregular diffusions
- Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps
- Simulating diffusions with piecewise constant coefficients using a kinetic approximation
- Weak Approximation for a Black-Scholes Type Regime Switching Model
- New Monte Carlo schemes for simulating diffusions in discontinuous media
- A numerical scheme for stochastic differential equations with distributional drift
This page was built for publication: An exponential timestepping algorithm for diffusion with discontinuous coefficients
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2222463)
