Adaptive weak approximation of reflected and stopped diffusions
DOI10.1515/MCMA.2010.001zbMATH Open1196.65029MaRDI QIDQ3564644FDOQ3564644
Authors: Christian Bayer, Anders Szepessy, R. Tempone 
Publication date: 26 May 2010
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Recommendations
numerical examplesEuler schemeNeumann boundary conditionweak approximationadaptive algorithmreflected diffusionstopped diffusion
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Heat equation (35K05) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)
Cites Work
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- A symmetrized Euler scheme for an efficient approximation of reflected diffusions
- Convergence Rates for Adaptive Weak Approximation of Stochastic Differential Equations
- Euler schemes and half-space approximation for the simulation of diffusion in a domain
Cited In (15)
- Reconstruction algorithm for unknown cavities via Feynman-Kac type formula
- Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
- Adaptive Monte Carlo Algorithms for Stopped Diffusion
- Implied stopping rules for American basket options from Markovian projection
- A comparison of higher-order weak numerical schemes for stopped stochastic differential equations
- Stopped diffusion processes: boundary corrections and overshoot
- Title not available (Why is that?)
- A symmetrized Euler scheme for an efficient approximation of reflected diffusions
- A stochastic exponential Euler scheme for simulation of stiff biochemical reaction systems
- SDE based regression for linear random PDEs
- Efficient schemes for the weak approximation of reflected diffusions
- Simulation of reflected Brownian motion on two dimensional wedges
- Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
- Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models
- An implementation of Milstein's method for general bounded diffusions
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