Simulation of a space-time bounded diffusion

DOI10.1214/AOAP/1029962812MaRDI QIDQ1578587zbMATH OpenOpenAlexFDO

Authors M. V. Tretyakov, Grigori N. Milstein

Publication date 4 September 2000

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aoap/1029962812

zbMATH Keywords

Monte Carlo methodsstochastic differential equationsconvergence resultsspace-time discretizationrandom algorithmssimulation studiesapproximation of exit times of space-time Brownian motionmean square approximationnumerical approximation of initial-boundary value problems for parabolic equationsnumerical methods for Dirichlet problemsnumerical methods for SDErandom walk over boundaries

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(26)

• Space-time transport schemes and homogenization. I: General theory of Markovian and non-Markovian processes
• Random walk on rectangles and parallelepipeds algorithm for solving transient anisotropic drift-diffusion-reaction problems
• Simulation of stopped diffusions
• A random walk on rectangles algorithm
• Simulation of diffusions with boundary conditions
• Branching diffusion representation of semi-linear elliptic PDEs and estimation using Monte Carlo method
• Realized volatility with stochastic sampling
• Stochastic algorithm for solving transient diffusion equations with a precise accounting of reflection boundary conditions on a substrate surface
• Stochastic simulation algorithms for solving a nonlinear system of drift-diffusion-Poisson equations of semiconductors
• Asymptotic equivalence of estimating a Poisson intensity and a positive diffusion drift
• Exact simulation of first exit times for one-dimensional diffusion processes
• Stopped diffusion processes: boundary corrections and overshoot
• Efficient discretisation of stochastic differential equations
• On the pathwise approximation of stochastic differential equations
• On the mean-square approximation of a diffusion process in a bounded domain
• Efficient discretization of stochastic integrals
• A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
• The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain
• Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps
• Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
• Simulating diffusions with piecewise constant coefficients using a kinetic approximation
• A deterministic model for the distribution of the stopping time in a stochastic equation and its numerical solution
• An integral equation for Root's barrier and the generation of Brownian increments
• Computing the principal eigenvalue of the Laplace operator by a stochastic method
• Computing the principal eigenelements of some linear operators using a branching Monte Carlo method
• Simulation of diffusions by means of importance sampling paradigm

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