Pages that link to "Item:Q2494575"

The following pages link to A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients (Q2494575):

Displaying 35 items.

• An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers (Q254492) (← links)
• Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions (Q297469) (← links)
• The snapping out Brownian motion (Q303968) (← links)
• The parametrix method for skew diffusions (Q309004) (← links)
• On some functional inequalities for skew Brownian motion (Q492160) (← links)
• Skew Brownian diffusions across Koch interfaces (Q525069) (← links)
• Occupation and local times for skew Brownian motion with applications to dispersion across an interface (Q627242) (← links)
• Markov jump processes approximating a non-symmetric generalized diffusion (Q647501) (← links)
• Simulating diffusions with piecewise constant coefficients using a kinetic approximation (Q658805) (← links)
• Skew disperson and continuity of local time (Q744579) (← links)
• Statistical estimation of the oscillating Brownian motion (Q1750094) (← links)
• One-dimensional heat equation with discontinuous conductance (Q2018910) (← links)
• A transformed stochastic Euler scheme for multidimensional transmission PDE (Q2029425) (← links)
• Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) (← links)
• Properties of the EMCEL scheme for approximating irregular diffusions (Q2069772) (← links)
• A numerical scheme for stochastic differential equations with distributional drift (Q2093691) (← links)
• On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time (Q2099271) (← links)
• Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift (Q2100548) (← links)
• An exponential timestepping algorithm for diffusion with discontinuous coefficients (Q2222463) (← links)
• Extreme at-the-money skew in a local volatility model (Q2274223) (← links)
• An Euler-Maruyama method for diffusion equations with discontinuous coefficients and a family of interface conditions (Q2292021) (← links)
• Spatial quadratic variations for the solution to a stochastic partial differential equation with elliptic divergence form operator (Q2337821) (← links)
• Simulating diffusion processes in discontinuous media: benchmark tests (Q2375139) (← links)
• Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps (Q2446752) (← links)
• Discretization of one-dimensional stochastic differential equations whose generators are divergence form with a discontinuous coefficient (Q2583811) (← links)
• Multi-skewed Brownian motion and diffusion in layered media (Q3093459) (← links)
• First Passage Time of Skew Brownian Motion (Q3165487) (← links)
• Probabilistic interpretation and random walk on spheres algorithms for the Poisson-Boltzmann equation in molecular dynamics (Q4933352) (← links)
• A Markov chain approximation scheme for option pricing under skew diffusions (Q4991088) (← links)
• Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients (Q5197539) (← links)
• Is a Brownian Motion Skew? (Q5418629) (← links)
• A Donsker theorem to simulate one-dimensional processes with measurable coefficients (Q5429606) (← links)
• On Probabilistic Analytical and Numerical Approaches for Divergence Form Operators with Discontinuous Coefficients (Q5497098) (← links)
• The narrow escape problem in a circular domain with radial piecewise constant diffusivity (Q5872683) (← links)
• The stochastic counterpart of conservation laws with heterogeneous conductivity fields: application to deterministic problems and uncertainty quantification (Q6186183) (← links)