scientific article; zbMATH DE number 5049841

MaRDI QIDQ5482357zbMATH OpenFDO

Authors F. M. Buchmann, Wesley P. Petersen

Publication date 28 August 2006

zbMATH Keywords

convergenceEuler updatesnumerical experimentsstopped diffusions

Mathematics Subject Classification ID

Stochastic integral equations (60H20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• Weak Limits of Stopped Diffusions
• Weak approximation of a diffusion process in a bounded domain
• Weak approximation of averaged diffusion processes
• Weak approximation of stochastic equations
• Adaptive weak approximation of reflected and stopped diffusions
• Continuous weak approximation for stochastic differential equations

Cited in

(6)

• Stopped diffusion processes: boundary corrections and overshoot
• Weak approximation of averaged diffusion processes
• Adaptive weak approximation of reflected and stopped diffusions
• Asymptotic equivalence between boundary perturbations and discrete exit times: application to simulation schemes
• A comparison of higher-order weak numerical schemes for stopped stochastic differential equations
• A posteriori error analysis and adaptivity for high-dimensional elliptic and parabolic boundary value problems

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