One-dimensional parabolic diffraction equations: pointwise estimates and discretization of related stochastic differential equations with weighted local times
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Publication:428642
DOI10.1214/EJP.v17-1905zbMath1244.60058MaRDI QIDQ428642
Publication date: 22 June 2012
Published in: Electronic Journal of Probability (Search for Journal in Brave)
stochastic differential equations; Monte Carlo methods; divergence form operators; Euler discretization scheme
60E07: Infinitely divisible distributions; stable distributions
65C05: Monte Carlo methods
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65R20: Numerical methods for integral equations
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
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