Improved Simulation for the Killed Brownian Motion in a Cone
type: Item
instance of: scholarly article
title: Improved Simulation for the Killed Brownian Motion in a Cone
zbMATH Open document ID: 1129.65005
DOI: 10.1137/050636966
author: Stéphane Menozzi
published in: SIAM Journal on Numerical Analysis
publication date: 2008-01-07T00:00:00Z
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H15
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 60J65
zbMATH DE Number: 5223847
zbMATH Keywords: discretely killed Brownian motion
zbMATH Keywords: nonsmooth domains
zbMATH Keywords: overshoot above the boundary
zbMATH Keywords: domain correction
zbMATH Keywords: numerical examples
zbMATH Keywords: error expansion
zbMATH Keywords: convergence
zbMATH Keywords: Dirichlet problem
MaRDI profile type: MaRDI publication profile
full work available at URL: https://doi.org/10.1137/050636966
OpenAlex ID: W4299684201
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description: scientific article; zbMATH DE number 5223847