Pages that link to "Item:Q4915855"

The following pages link to Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process (Q4915855):

Displaying 25 items.

• An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers (Q254492) (← links)
• A numerical method for SDEs with discontinuous drift (Q285276) (← links)
• The parametrix method for skew diffusions (Q309004) (← links)
• Corrections: occupation and local times for skew Brownian motion with applications to dispersion across an interface (Q655592) (← links)
• On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media (Q1619554) (← links)
• Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient (Q1692306) (← links)
• Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero (Q1713855) (← links)
• A transformed stochastic Euler scheme for multidimensional transmission PDE (Q2029425) (← 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)
• Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation (Q2103028) (← links)
• An exponential timestepping algorithm for diffusion with discontinuous coefficients (Q2222463) (← links)
• An Euler-Maruyama method for diffusion equations with discontinuous coefficients and a family of interface conditions (Q2292021) (← links)
• First hitting times for doubly skewed Ornstein-Uhlenbeck processes (Q2339552) (← links)
• Simulating diffusion processes in discontinuous media: benchmark tests (Q2375139) (← links)
• Carathéodory approximate solutions for a class of stochastic differential equations involving the local time at point zero with one-sided Lipschitz continuous drift coefficients (Q2671525) (← links)
• Exact simulation of multidimensional reflected Brownian motion (Q4684931) (← links)
• Markov Chain Monte Carlo for Exact Inference for Diffusions (Q4923056) (← links)
• Convergence rate of Euler scheme for time-inhomogeneous SDEs involving the local time of the unknown process (Q4997063) (← links)
• Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients (Q5197539) (← links)
• Exact Simulation of Brownian Diffusions with Drift Admitting Jumps (Q5738175) (← links)
• Advection-dispersion across interfaces (Q5965038) (← links)
• The truncated Euler-Maruyama method of one-dimensional stochastic differential equations involving the local time at point zero (Q6112113) (← links)
• Hitting times for sticky skew CIR process (Q6647788) (← links)
• Weak Approximation for a Black-Scholes Type Regime Switching Model (Q6671994) (← links)