Simulation of diffusions with boundary conditions
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In order to treat diffusion processes with boundary conditions the authors propose a simulation scheme based on a finite difference approximation of the generating differential operator of the diffusion. This approach leads to the simulation of a jump Markov process on a grid in space allowing the incorporation of all possible boundary conditions in a simple manner. The convergence of the approximating Markov processes is in the weak sense. The paper contains the results of simulations in three simple cases.
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Cites work
- A diffusion model for patch formation on cellular surfaces
- Comparison of Semi-Markov and Markov Processes
- Diffusion Processes in One Dimension
- scientific article; zbMATH DE number 3124312 (Why is no real title available?)
- scientific article; zbMATH DE number 3127846 (Why is no real title available?)
- scientific article; zbMATH DE number 3145615 (Why is no real title available?)
- scientific article; zbMATH DE number 3651671 (Why is no real title available?)
- scientific article; zbMATH DE number 3780265 (Why is no real title available?)
- scientific article; zbMATH DE number 3215021 (Why is no real title available?)
- scientific article; zbMATH DE number 3355566 (Why is no real title available?)
- scientific article; zbMATH DE number 3383329 (Why is no real title available?)
- Probability methods for approximations in stochastic control and for elliptic equations
- Semigroups of conditioned shifts and approximation of Markov processes
- The parabolic differential equations and the associated semigroups of transformation
Cited in
(17)- Association rates of diffusion-controlled reactions in two dimensions
- Boundary behavior of diffusion approximations to Markov jump processes
- A confidence interval for Monte Carlo methods with an application to simulation of obliquely reflecting Brownian motion
- Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
- Boundary classification and simulation of one-dimensional diffusion processes
- Simulation of conditioned diffusions on the flat torus
- Guided proposals for simulating multi-dimensional diffusion bridges
- Simulation of diffusion processes in axisymmetric inhomogeneous media
- Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
- On the mean-square approximation of a diffusion process in a bounded domain
- A short review on boundary behavior of linear diffusion processes
- Construction of sampling trajectories of coupled diffusion processes and its simulation algorithm
- Large time behaviors of upwind schemes and \(B\)-schemes for Fokker-Planck equations on \(\mathbb{R}\) by jump processes
- scientific article; zbMATH DE number 6458589 (Why is no real title available?)
- Simulation of Multivariate Diffusion Bridges
- Markov jump processes approximating a non-symmetric generalized diffusion
- Simulation of stopped diffusions
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