Pages that link to "Item:Q850400"

The following pages link to On random walk simulation of one-dimensional diffusion processes with discontinuous coeffi\-cients (Q850400):

Displaying 29 items.

• An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers (Q254492) (← links)
• The snapping out Brownian motion (Q303968) (← links)
• The parametrix method for skew diffusions (Q309004) (← links)
• Markov jump processes approximating a non-symmetric generalized diffusion (Q647501) (← links)
• Simulating diffusions with piecewise constant coefficients using a kinetic approximation (Q658805) (← links)
• Time inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operators (Q1639671) (← 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)
• Statistical estimation of the oscillating Brownian motion (Q1750094) (← links)
• Modeling the diffusion of heat energy within composites of homogeneous materials using the uncertainty principle (Q1993560) (← links)
• Diagonalization of 1-D differential operators with piecewise constant coefficients using the uncertainty principle (Q1997334) (← links)
• One-dimensional heat equation with discontinuous conductance (Q2018910) (← links)
• A transformed stochastic Euler scheme for multidimensional transmission PDE (Q2029425) (← links)
• On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time (Q2099271) (← links)
• Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise (Q2135187) (← links)
• An exponential timestepping algorithm for diffusion with discontinuous coefficients (Q2222463) (← links)
• Stochastic finite differences for elliptic diffusion equations in stratified domains (Q2228762) (← 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)
• Stochastic heat equation with piecewise constant coefficients and generalized fractional type noise (Q5153156) (← links)
• Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients (Q5197539) (← links)
• One-dimensional stochastic heat equation with discontinuous conductance (Q5228873) (← links)
• A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA (Q5384680) (← 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)
• On the convergence order of a binary tree approximation of symmetrized diffusion processes (Q6108197) (← links)
• A general framework to simulate diffusions with discontinuous coefficients and local times (Q6638922) (← links)