Weak Approximation of Obliquely Reflected Diffusions on Time-dependent Domains

DOI10.4208/jcm.1003-m2957zbMath1240.65011MaRDI QIDQ3110355

Thomas Önskog, Kaj Nyström

Publication date: 27 January 2012

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

Full work available at URL: https://doi.org/10.4208/jcm.1003-m2957

zbMATH Keywords

convergence; numerical examples; stochastic differential equations; Monte Carlo method; weak approximation; parabolic equations; Feynman-Kac formula; Euler scheme; oblique reflection; time-dependent domain

Mathematics Subject Classification ID

65C05: Monte Carlo methods

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

35R60: PDEs with randomness, stochastic partial differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

35K10: Second-order parabolic equations

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