Monte Carlo simulation of nonlinear diffusion processes. II

DOI10.1007/BF03167212MaRDI QIDQ1325130zbMATH OpenOpenAlexFDO

Authors Shigeyoshi Ogawa

Publication date 1 November 1994

Published in Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf03167212

zbMATH Keywords

density estimationMonte Carlo simulationstochastic differential equationsnonlinear diffusionssecond order approximation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
• A survey of numerical methods for stochastic differential equations
• Monte Carlo simulation of nonlinear diffusion processes
• On Estimation of a Probability Density Function and Mode
• The stochastic integral of noncausal type as an extension of the symmetric integrals

Cited in

(7)

• Gillespie algorithm and diffusion approximation based on Monte Carlo simulation for innovation diffusion: a comparative study
• An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables
• Some problems in the simulation of nonlinear diffusion processes
• Quasi-Monte Carlo simulation of diffusion
• A stochastic particle method for some one-dimensional nonlinear p.d.e
• Monte Carlo simulation of nonlinear diffusion processes
• Exponential distributed time-delay nonlinear models: Monte Carlo simulations

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