Absorbing boundaries and optimal stopping in a stochastic differential equation

DOI10.1016/S0375-9601(99)00117-6zbMath0946.60057OpenAlexW2129105779WikidataQ62556233 ScholiaQ62556233MaRDI QIDQ1967100

Riccardo Mannella

Publication date: 8 March 2000

Published in: Physics Letters. A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0375-9601(99)00117-6

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic processes (60G99) Stochastic analysis (60H99)

Related Items (18)

Domain decomposition solution of nonlinear two-dimensional parabolic problems by random trees ⋮ Digital barrier options pricing: an improved Monte Carlo algorithm ⋮ A stochastic approach to the solution of magnetohydrodynamic equations ⋮ General criteria for the study of quasi-stationarity ⋮ Stochastic bifurcations induced by correlated noise in a birhythmic van der Pol system ⋮ Modeling and Simulation of Biochemical Processes Using Stochastic Hybrid Systems: The Sugar Cataract Development Process ⋮ Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance ⋮ Continuous-time Random Walks for the Numerical Solution of Stochastic Differential Equations ⋮ INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS ON A COMPUTER ⋮ First exit time probability for multidimensional diffusions: A PDE-based approach ⋮ Fast simulations of stochastic dynamical systems ⋮ Simulation of stopped diffusions ⋮ Mean-square stability properties of an adaptive time-stepping SDE solver ⋮ The PDD method for solving linear, nonlinear, and fractional PDEs problems ⋮ Metropolis Integration Schemes for Self-Adjoint Diffusions ⋮ Optimal potentials for diffusive search strategies ⋮ Improved Simulation Techniques for First Exit Time of Neural Diffusion Models ⋮ An efficient algorithm for accelerating Monte Carlo approximations of the solution to boundary value problems

Cites Work

• Higher-order implicit strong numerical schemes for stochastic differential equations
• Brownian motion in a field of force and the diffusion model of chemical reactions
• Unnamed Item

This page was built for publication: Absorbing boundaries and optimal stopping in a stochastic differential equation