Euler schemes and half-space approximation for the simulation of diffusion in a domain
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- Elliptic Partial Differential Equations of Second Order
- Euler scheme for reflected stochastic differential equations
- Exact asymptotics for the probability of exit from a domain and applications to simulation
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- Functional Integration and Partial Differential Equations. (AM-109)
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- Hypoellipticité et hypoellipticité partielle pour les diffusions avec une condition frontière (Hypoellipticity and partial hypoellipticity for diffusions with a boundary condition)
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- On approximation of solutions of multidimensional SDE's with reflecting boundary conditions
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Cited in
(45)- An accurate treatment of diffuse reflection boundary conditions for a stochastic particle Fokker-Planck algorithm with large time steps
- Weak approximation of killed diffusion using Euler schemes.
- A transformed stochastic Euler scheme for multidimensional transmission PDE
- Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion
- Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
- Stochastic finite differences for elliptic diffusion equations in stratified domains
- The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain
- An implementation of Milstein's method for general bounded diffusions
- A partially reflecting random walk on spheres algorithm for electrical impedance tomography
- Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
- Invasion and adaptive evolution for individual-based spatially structured populations
- Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme
- Invariant density estimation for a reflected diffusion using an Euler scheme
- Error estimation and uncertainty quantification for first time to a threshold value
- Simulation of reflected Brownian motion on two dimensional wedges
- Probabilistic verification of a biodiesel production system using statistical model checking
- Hybrid PDE solver for data-driven problems and modern branching
- Some new simulations schemes for the evaluation of Feynman–Kac representations
- Modeling and Simulation of Biochemical Processes Using Stochastic Hybrid Systems: The Sugar Cataract Development Process
- Adaptive weak approximation of reflected and stopped diffusions
- On Monte Carlo algorithms applied to Dirichlet problems for parabolic operators in the setting of time-dependent domains
- The simulation of phase trajectories of a diffusion process in a bounded domain
- Weak approximation of a diffusion process in a bounded domain
- Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
- A symmetrized Euler scheme for an efficient approximation of reflected diffusions
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- Parameter identification for a stochastic logistic growth model with extinction
- Sticky Brownian Motion and Its Numerical Solution
- Asymptotic equivalence between boundary perturbations and discrete exit times: application to simulation schemes
- Exact Monte Carlo simulation of killed diffusions
- A posteriori error analysis and adaptivity for high-dimensional elliptic and parabolic boundary value problems
- Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
- General criteria for the study of quasi-stationarity
- Efficient Bayesian Computation for Low-Photon Imaging Problems
- Can the Clocks Tick Together Despite the Noise? Stochastic Simulations and Analysis
- Speeding up the Euler scheme for killed diffusions
- Convergence error analysis of reflected gradient Langevin dynamics for non-convex constrained optimization
- Exact simulation of the first-passage time of diffusions to time-dependent thresholds
- 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
- Simulation of stopped diffusions
- Integral kernel methods for nonlinear parabolic-elliptic systems
- Strong order one-half convergence of a coupled tamed Euler--Peano scheme for reflected stochastic differential equations with super-linearly growing coefficients
- Computing the principal eigenvalue of the Laplace operator by a stochastic method
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