Numerical Approximation for Functionals of Reflecting Diffusion Processes
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- Weak approximation of obliquely reflected diffusions in time-dependent domains
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- Adaptive weak approximation of reflected and stopped diffusions
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- Numerical schemes for multivalued backward stochastic differential systems
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- A Numerical Scheme using Excursion Theory for Simulating Stochastic Differential Equations with Reflection and Local Time at a Boundary
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- A symmetrized Euler scheme for an efficient approximation of reflected diffusions
- A parallel iterative probabilistic method for mixed problems of Laplace equations with the Feynman-Kac formula of killed Brownian motions
- A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains
- Numerical approximation of invariant measures for hybrid diffusion systems
- On the variance of the estimate of the functional of the diffusion process in a domain with a reflecting bounry
- A hybrid probabilistic domain decomposition algorithm suited for very large-scale elliptic PDEs
- Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
- Captive jump processes for bounded random systems with discontinuous dynamics
- Efficient Bayesian Computation for Low-Photon Imaging Problems
- A stochastic approach for elliptic problems in perforated domains
- Analysis and preconditioning of a probabilistic domain decomposition algorithm for elliptic boundary value problems
- Escape-from-a-layer approach for simulating the boundary local time in Euclidean domains
- Heuristics for the probabilistic solution of BVPs with mixed boundary conditions
- An explicit substructuring method for overlapping domain decomposition based on stochastic calculus
- Approximation and duality problems of refracted processes
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