Simulation of a space-time bounded diffusion

DOI10.1214/aoap/1029962812zbMath0964.60065OpenAlexW2066221740MaRDI QIDQ1578587

M. V. Tretyakov, Grigori N. Milstein

Publication date: 4 September 2000

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1029962812

zbMATH Keywords

stochastic differential equationsMonte Carlo methodsconvergence resultsspace-time discretizationrandom algorithmssimulation studiesapproximation of exit times of space-time Brownian motionmean square approximationnumerical approximation of initial-boundary value problems for parabolic equationsnumerical methods for Dirichlet problemsnumerical methods for SDErandom walk over boundaries

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

• Discretization and simulation of stochastic differential equations
• Probability methods for approximations in stochastic control and for elliptic equations
• Some Continuous Monte Carlo Methods for the Dirichlet Problem
• The simulation of phase trajectories of a diffusion process in a bounded domain
• Weak approximation of a diffusion process in a bounded domain
• On the mean-square approximation of a diffusion process in a bounded domain
• Solution of partial differential equations by a modified random walk
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