Continuous-time random walks for the numerical solution of stochastic differential equations (Q5383902)
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scientific article; zbMATH DE number 7069163
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| English | Continuous-time random walks for the numerical solution of stochastic differential equations |
scientific article; zbMATH DE number 7069163 |
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Continuous-time Random Walks for the Numerical Solution of Stochastic Differential Equations (English)
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20 June 2019
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stochastic differential equations
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non-symmetric diffusions
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parabolic partial differential equation
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monotone operator
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discrete maximum principle
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Kolmogorov equation
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Fokker-Planck equation
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invariant measure
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Markov jump process
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stochastic Lyapunov function
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stochastic simulation algorithm
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geometric ergodicity
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0.7671999335289001
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0.7627214789390564
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0.75930255651474
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0.7564043402671814
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0.7533992528915405
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