Adaptive weak approximation of reflected and stopped diffusions
adaptive algorithmEuler schemeNeumann boundary conditionnumerical examplesreflected diffusionstopped diffusionweak approximation
Heat equation (35K05) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)
- A symmetrized Euler scheme for an efficient approximation of reflected diffusions
- Adaptive weak approximation of stochastic differential equations
- Convergence Rates for Adaptive Weak Approximation of Stochastic Differential Equations
- Discretization error in simulation of one-dimensional reflecting Brownian motion
- Euler schemes and half-space approximation for the simulation of diffusion in a domain
- Euler's approximations of solutions of SDEs with reflecting boundary.
- Expansion of the global error for numerical schemes solving stochastic differential equations
- Multilevel Monte Carlo Path Simulation
- Numerical Approximation for Functionals of Reflecting Diffusion Processes
- On the Lambert \(w\) function
- Stochastic differential equations for multi-dimensional domain with reflecting boundary
- Weak approximation of killed diffusion using Euler schemes.
- Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
- Stopped diffusion processes: boundary corrections and overshoot
- An implementation of Milstein's method for general bounded diffusions
- Reconstruction algorithm for unknown cavities via Feynman-Kac type formula
- Simulation of reflected Brownian motion on two dimensional wedges
- Efficient schemes for the weak approximation of reflected diffusions
- A symmetrized Euler scheme for an efficient approximation of reflected diffusions
- Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models
- A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems
- Implied stopping rules for American basket options from Markovian projection
- SDE based regression for linear random PDEs
- A comparison of higher-order weak numerical schemes for stopped stochastic differential equations
- scientific article; zbMATH DE number 5049841 (Why is no real title available?)
- Adaptive Monte Carlo Algorithms for Stopped Diffusion
- Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
- Weak convergence analysis in the particle limit of the McKean-Vlasov equation using stochastic flows of particle systems
- Heuristics for the probabilistic solution of BVPs with mixed boundary conditions
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