Calculation optimization in the solution of diffusion problems

DOI10.1515/RNAM-2001-0604MaRDI QIDQ4331070zbMATH OpenOpenAlexFDO

Authors Mikhail A. Marchenko

Publication date 4 February 2003

Published in Russian Journal of Numerical Analysis and Mathematical Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rnam-2001-0604

zbMATH Keywords

autonomous systemdiffusion processEuler methodimportance samplingnumerical examplessplitting methodstochastic differential equationtrajectory

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• The use of importance sampling in the solution of stochastic differential equations.
• scientific article; zbMATH DE number 59508
• On the numerical evaluation of first-passage-time probability densities for one dimensional diffusion processes
• scientific article; zbMATH DE number 2208604
• On the mean-square approximation of a diffusion process in a bounded domain

Cited in

(2)

• The use of importance sampling in the solution of stochastic differential equations.
• scientific article; zbMATH DE number 3919627 (Why is no real title available?)

This page was built for publication: Calculation optimization in the solution of diffusion problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4331070)