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

DOI10.15372/SJNM20220402MaRDI QIDQ5882864FDOQ5882864

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

• Title not available (Why is that?)
• 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.
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• Numerical Approximation for Functionals of Reflecting Diffusion Processes
• A symmetrized Euler scheme for an efficient approximation of reflected diffusions
• Minimizing the variance of a mathematical expectation estimate for a diffusion process functional based on a parametric transformation of a parabolic boundary value problem

Cited In (1)

• Parameter estimation for generalized diffusion processes with reflected boundary

This page was built for publication: On the variance of the estimate of the functional of the diffusion process in a domain with a reflecting bounry

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5882864)