Simulation of diffusions with boundary conditions

DOI10.1016/S0167-6911(84)80034-1zbMath0549.60072MaRDI QIDQ800054

A. M. Rosa, Anna Gerardi, Federico Marchetti

Publication date: 1984

Published in: Systems \& Control Letters (Search for Journal in Brave)

zbMATH Keywords

finite difference approximationjump Markov processresults of simulations

Mathematics Subject Classification ID

Diffusion processes (60J60) Probabilistic methods, stochastic differential equations (65C99)

Related Items

A confidence interval for Monte Carlo methods with an application to simulation of obliquely reflecting Brownian motion, Second-order discretization schemes of stochastic differential systems for the computation of the invariant law, Large time behaviors of upwind schemes and $B$-schemes for Fokker-Planck equations on $\mathbb {R}$ by jump processes, Association rates of diffusion-controlled reactions in two dimensions

Cites Work

• Probability methods for approximations in stochastic control and for elliptic equations
• A diffusion model for patch formation on cellular surfaces
• Semigroups of conditioned shifts and approximation of Markov processes
• The parabolic differential equations and the associated semigroups of transformation
• Comparison of Semi-Markov and Markov Processes
• Diffusion Processes in One Dimension
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item