Continuous-time Random Walks for the Numerical Solution of Stochastic Differential Equations
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Publication:5383902
DOI10.1090/memo/1228zbMath1437.65002arXiv1502.05034OpenAlexW2963442809WikidataQ129107692 ScholiaQ129107692MaRDI QIDQ5383902
Eric Vanden-Eijnden, Nawaf Bou-Rabee
Publication date: 20 June 2019
Published in: Memoirs of the American Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1502.05034
stochastic Lyapunov functionFokker-Planck equationstochastic differential equationsmonotone operatorinvariant measurediscrete maximum principleKolmogorov equationgeometric ergodicityMarkov jump processparabolic partial differential equationstochastic simulation algorithmnon-symmetric diffusions
Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Numerical solutions to stochastic differential and integral equations (65C30) Jump processes on discrete state spaces (60J74)
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