Discretization of one-dimensional stochastic differential equations whose generators are divergence form with a discontinuous coefficient
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Publication:2583811
DOI10.1016/j.crma.2005.10.025zbMath1082.60514OpenAlexW2083750239MaRDI QIDQ2583811
Publication date: 18 January 2006
Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.crma.2005.10.025
Related Items (9)
Simulating diffusion processes in discontinuous media: benchmark tests ⋮ Time inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operators ⋮ Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps ⋮ Simulating diffusions with piecewise constant coefficients using a kinetic approximation ⋮ A Donsker theorem to simulate one-dimensional processes with measurable coefficients ⋮ Probabilistic interpretation and random walk on spheres algorithms for the Poisson-Boltzmann equation in molecular dynamics ⋮ A transformed stochastic Euler scheme for multidimensional transmission PDE ⋮ An Euler-Maruyama method for diffusion equations with discontinuous coefficients and a family of interface conditions ⋮ Discretization of one-dimensional stochastic differential equations whose generators are divergence form with a discontinuous coefficient
Cites Work
- Dirichlet forms and symmetric Markov processes
- The Euler scheme with irregular coefficients
- A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
- Discretization of one-dimensional stochastic differential equations whose generators are divergence form with a discontinuous coefficient
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