Some problems in the simulation of nonlinear diffusion processes

DOI10.1016/0378-4754(93)E0085-JzbMath0824.60064OpenAlexW2032958788MaRDI QIDQ1897677

Shigeyoshi Ogawa

Publication date: 4 September 1995

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-4754(93)e0085-j

zbMATH Keywords

discretization schemedensity estimation proceduresimulation of nonlinear diffusion processes

Mathematics Subject Classification ID

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

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Cites Work

• A survey of numerical methods for stochastic differential equations
• Monte Carlo simulation of nonlinear diffusion processes
• Approximate Integration of Stochastic Differential Equations
• A stochastic simulation for solving scalar reaction–diffusion equations
• A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
• On Estimation of a Probability Density Function and Mode
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