Weak approximation of obliquely reflected diffusions in time-dependent domains (Q3110355)
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scientific article; zbMATH DE number 6001013
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| English | Weak approximation of obliquely reflected diffusions in time-dependent domains |
scientific article; zbMATH DE number 6001013 |
Statements
Weak Approximation of Obliquely Reflected Diffusions on Time-dependent Domains (English)
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27 January 2012
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stochastic differential equations
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oblique reflection
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time-dependent domain
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weak approximation
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Monte Carlo method
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Euler scheme
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convergence
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numerical examples
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Feynman-Kac formula
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parabolic equations
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0.8319094777107239
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0.8317821025848389
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0.8296971321105957
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0.82254958152771
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