Euler schemes and half-space approximation for the simulation of diffusion in a domain
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Cited in
(37)- Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
- Stochastic finite differences for elliptic diffusion equations in stratified domains
- Asymptotic equivalence between boundary perturbations and discrete exit times: application to simulation schemes
- Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
- Efficient Bayesian Computation for Low-Photon Imaging Problems
- Modeling and Simulation of Biochemical Processes Using Stochastic Hybrid Systems: The Sugar Cataract Development Process
- Speeding up the Euler scheme for killed diffusions
- 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
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- Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
- Can the Clocks Tick Together Despite the Noise? Stochastic Simulations and Analysis
- 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
- Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion
- Error estimation and uncertainty quantification for first time to a threshold value
- 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
- Simulation of reflected Brownian motion on two dimensional wedges
- Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
- On Monte Carlo algorithms applied to Dirichlet problems for parabolic operators in the setting of time-dependent domains
- Exact Monte Carlo simulation of killed diffusions
- 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
- Computing the principal eigenvalue of the Laplace operator by a stochastic method
- An implementation of Milstein's method for general bounded diffusions
- 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
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