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

DOI10.1051/ps:2001112zbMath0998.60081OpenAlexW2163037328MaRDI QIDQ4534853

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

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