An Euler-Maruyama method for diffusion equations with discontinuous coefficients and a family of interface conditions

DOI10.1016/j.cam.2019.112545zbMath1443.60059OpenAlexW2982235783WikidataQ126984594 ScholiaQ126984594MaRDI QIDQ2292021

Enrique A. Thomann, Edward C. Waymire, Vrushali A. Bokil, Nathan L. Gibson, Son Luu Nguyen

Publication date: 31 January 2020

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2019.112545

zbMATH Keywords

stochastic differential equationsinterface conditionsEuler-Maruyama methoddivergence form operatorsdiscontinuous diffusion coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

• IIMPACK

Cites Work

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