scientific article; zbMATH DE number 1055651

zbMATH Open0888.60050MaRDI QIDQ4350396FDOQ4350396

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Publication date: 30 September 1997

Title of this publication is not available (Why is that?)

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zbMATH Keywords

numerical integration of stochastic differential equationsMonte Carlo methods for solving problems of mathematical physicsone-step order of accuracy of a methodweak approximation of solutions of stochastic differential equations

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cited In (12)

• On an approach to deal with Neumann boundary value problems defined on uncertain domains: numerical experiments
• The solving of boundary value problems by numerical integration of stochastic equations
• A symmetrized Euler scheme for an efficient approximation of reflected diffusions
• Numerical solution of partial differential equations with stochastic Neumann boundary conditions
• A semi-Lagrangian scheme for Hamilton-Jacobi-Bellman equations with oblique derivatives boundary conditions
• Simulation of a space-time bounded diffusion
• A probabilistic approach to the solution of the Neumann problem for nonlinear parabolic equations
• Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
• An implementation of Milstein's method for general bounded diffusions
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• Euler schemes and half-space approximation for the simulation of diffusion in a domain
• A Lagrangian fluctuation-dissipation relation for scalar turbulence. II: Wall-bounded flows

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