The approximate calculation of invariant measures of diffusions via finite difference approximations to degenerate elliptic partial differential equations

DOI10.1016/0022-247X(75)90126-2zbMath0313.65083MaRDI QIDQ1220370

Harold J. Kushner, Chen-Fu. Yu

Publication date: 1975

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Mathematics Subject Classification ID

65K05: Numerical mathematical programming methods

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

35J10: Schrödinger operator, Schrödinger equation

65M15: Error bounds for initial value and initial-boundary value problems involving PDEs

Related Items

SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations, Probabilistic methods for finite difference approximations to degenerate elliptic and parabolic equations with Neumann and Dirichlet boundary conditions

Cites Work

• Probability methods for the convergence of finite difference approximations to partial differential equations
• Probability limit theorems and the convergence of finite difference approximations of partial differential equations
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