The simulation of phase trajectories of a diffusion process in a bounded domain

DOI10.1080/17442509608834038zbMath0888.60048OpenAlexW2079759177MaRDI QIDQ4363292

Grigori N. Milstein

Publication date: 25 May 1998

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509608834038

zbMATH Keywords

Markov chainrandom walkexit pointmean-square approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random number generation in numerical analysis (65C10)

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Simulation of a space-time bounded diffusion

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