One-dimensional parabolic diffraction equations: pointwise estimates and discretization of related stochastic differential equations with weighted local times
DOI10.1214/EJP.V17-1905zbMATH Open1244.60058MaRDI QIDQ428642FDOQ428642
Publication date: 22 June 2012
Published in: Electronic Journal of Probability (Search for Journal in Brave)
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- scientific article; zbMATH DE number 1203376
Monte Carlo methodsstochastic differential equationsdivergence form operatorsEuler discretization scheme
Infinitely divisible distributions; stable distributions (60E07) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical methods for integral equations (65R20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Cited In (14)
- On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time
- On Probabilistic Analytical and Numerical Approaches for Divergence Form Operators with Discontinuous Coefficients
- Bouncing skew Brownian motions
- Simulating diffusion processes in discontinuous media: benchmark tests
- Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients
- Discretization of one-dimensional stochastic differential equations whose generators are divergence form with a discontinuous coefficient
- The parametrix method for skew diffusions
- Time inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operators
- 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
- Advection-dispersion across interfaces
- Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
- A general framework to simulate diffusions with discontinuous coefficients and local times
- Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps
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