An implementation of Milstein's method for general bounded diffusions
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Publication:2311990
DOI10.1007/s10915-018-0884-6zbMath1417.60062arXiv1802.09785OpenAlexW2901045452WikidataQ128854642 ScholiaQ128854642MaRDI QIDQ2311990
Publication date: 4 July 2019
Published in: Journal of Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1802.09785
Feynman-Kac formulaeikonal equationreflected diffusionstopped diffusionstochastic numericsrank-one updates to matrix decompositions
Monte Carlo methods (65C05) 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
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