Euler schemes and half-space approximation for the simulation of diffusion in a domain

DOI10.1051/PS:2001112zbMATH Open0998.60081OpenAlexW2163037328MaRDI QIDQ4534853FDOQ4534853

Authors: Emmanuel Gobet 

Publication date: 11 June 2002

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=PS_2001__5__261_0

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zbMATH Keywords

rates of convergenceweak approximationreflected diffusiondiscretization schemeskilled diffusionboundary value problems for parabolic partial differential equations

Mathematics Subject Classification ID

Diffusion processes (60J60) Initial-boundary value problems for second-order parabolic equations (35K20) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (37)

• Stochastic finite differences for elliptic diffusion equations in stratified domains
• Efficient Bayesian Computation for Low-Photon Imaging Problems
• Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
• Speeding up the Euler scheme for killed diffusions
• Modeling and Simulation of Biochemical Processes Using Stochastic Hybrid Systems: The Sugar Cataract Development Process
• Simulation of stopped diffusions
• A posteriori error analysis and adaptivity for high-dimensional elliptic and parabolic boundary value problems
• Probabilistic verification of a biodiesel production system using statistical model checking
• Parameter identification for a stochastic logistic growth model with extinction
• Sticky Brownian Motion and Its Numerical Solution
• Adaptive weak approximation of reflected and stopped diffusions
• Can the Clocks Tick Together Despite the Noise? Stochastic Simulations and Analysis
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• Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
• A transformed stochastic Euler scheme for multidimensional transmission PDE
• Weak approximation of killed diffusion using Euler schemes.
• An accurate treatment of diffuse reflection boundary conditions for a stochastic particle Fokker-Planck algorithm with large time steps
• Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme
• Error estimation and uncertainty quantification for first time to a threshold value
• Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion
• A symmetrized Euler scheme for an efficient approximation of reflected diffusions
• Some new simulations schemes for the evaluation of Feynman–Kac representations
• The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain
• Asymptotic Equivalence Between Boundary Perturbations and Discrete Exit Times: Application to Simulation Schemes
• Simulation of reflected Brownian motion on two dimensional wedges
• Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
• Exact Monte Carlo simulation of killed diffusions
• On Monte Carlo algorithms applied to Dirichlet problems for parabolic operators in the setting of time-dependent domains
• Convergence error analysis of reflected gradient Langevin dynamics for non-convex constrained optimization
• Hybrid PDE solver for data-driven problems and modern branching
• Invasion and adaptive evolution for individual-based spatially structured populations
• An implementation of Milstein's method for general bounded diffusions
• Computing the principal eigenvalue of the Laplace operator by a stochastic method
• A partially reflecting random walk on spheres algorithm for electrical impedance tomography
• Invariant density estimation for a reflected diffusion using an Euler scheme
• General criteria for the study of quasi-stationarity
• Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options

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