On the variance of the estimate of the functional of the diffusion process in a domain with a reflecting bounry

DOI10.15372/SJNM20220402MaRDI QIDQ5882864zbMATH OpenFDO

Authors S. A. Gusev

Publication date 29 March 2023

Published in Сибирский журнал вычислительной математики (Search for Journal in Brave)

Full work available at URL http://mathnet.ru/eng/sjvm816

zbMATH Keywords

diffusion processstochastic differential equationsEuler methodreflecting boundaryvariance of Monte Carlo method estimation

Mathematics Subject Classification ID

Numerical analysis (65-XX) Partial differential equations (35-XX)

Cites work

• scientific article; zbMATH DE number 3262637 (Why is no real title available?)
• A symmetrized Euler scheme for an efficient approximation of reflected diffusions
• Minimizing the variance of estimate of mathematical expectation of a diffusion process functional by parametric transformation of the parabolic boundary value problem
• Numerical Approximation for Functionals of Reflecting Diffusion Processes
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• Stochastic differential equations with reflecting boundary condition in convex regions
• Stochastic differential equations with reflecting boundary conditions
• Weak approximation of killed diffusion using Euler schemes.

Cited in

(1)

• Parameter estimation for generalized diffusion processes with reflected boundary

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