Markov jump processes approximating a non-symmetric generalized diffusion

DOI10.1007/S00245-011-9133-1MaRDI QIDQ647501zbMATH OpenOpenAlexFDO

Authors Nedžad Limić

Publication date 23 November 2011

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-011-9133-1

zbMATH Keywords

symmetric diffusiondivergence form operatorsapproximation of diffusionsimulation of diffusion

Mathematics Subject Classification ID

Diffusion processes (60J60)

Recommendations

• Markov chain approximations for symmetric jump processes
• Markov chain approximations to symmetric diffusions
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• Markov chain approximations to nonsymmetric diffusions with bounded coefficients

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Cited in

(3)

• A transformed stochastic Euler scheme for multidimensional transmission PDE
• Markov Jump Processes Approximating a Nonsymmetric Generalized Diffusion: numerics explained to probabilists
• A method of approximating Markov jump processes

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