scientific article; zbMATH DE number 1055651

MaRDI QIDQ4350396zbMATH OpenFDO

Authors

Publication date 30 September 1997

zbMATH Keywords

Monte Carlo methods for solving problems of mathematical physicsnumerical integration of stochastic differential equationsone-step order of accuracy of a methodweak approximation of solutions of stochastic differential equations

Mathematics Subject Classification ID

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

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(16)

• Simulation of a space-time bounded diffusion
• The solving of boundary value problems by numerical integration of stochastic equations
• An implementation of Milstein's method for general bounded 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
• scientific article; zbMATH DE number 1507354 (Why is no real title available?)
• Euler schemes and half-space approximation for the simulation of diffusion in a domain
• A symmetrized Euler scheme for an efficient approximation of reflected diffusions
• A probabilistic approach to the solution of the Neumann problem for nonlinear parabolic equations
• A Lagrangian fluctuation-dissipation relation for scalar turbulence. II: Wall-bounded flows
• On an approach to deal with Neumann boundary value problems defined on uncertain domains: numerical experiments
• Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
• Escape-from-a-layer approach for simulating the boundary local time in Euclidean domains
• Well-posedness and approximation of reflected McKean-Vlasov SDEs with applications
• Higher-order adaptive methods for exit times of Itô diffusions
• Heuristics for the probabilistic solution of BVPs with mixed boundary conditions

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