Diffusion simulation via Green function evaluation

DOI10.1007/S40304-023-00384-0MaRDI QIDQ7253006zbMATH OpenFDO

Authors Lin Sun, Shuaishuai Chen, Gang Wei

Publication date 26 May 2026

Published in Communications in Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S40304-023-00384-0

zbMATH Keywords

Cox processdiffusionsGreen functionsKolmogorov forward equationMonte Carlo methodsample path simulationstochastic differential equations

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

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