Weak approximation of obliquely reflected diffusions in time-dependent domains

DOI10.4208/JCM.1003-M2957MaRDI QIDQ3110355zbMATH OpenOpenAlexFDO

Authors Thomas Önskog, Kaj Nyström

Publication date 27 January 2012

Published in Journal of Computational Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/jcm.1003-m2957

zbMATH Keywords

convergenceEuler schemeFeynman-Kac formulaMonte Carlo methodnumerical examplesoblique reflectionparabolic equationsstochastic differential equationstime-dependent domainweak approximation

Mathematics Subject Classification ID

Second-order parabolic equations (35K10) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

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Cited in

(3)

• Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
• The Skorohod oblique reflection problem in time-dependent domains
• A Positivity-Preserving Expectation Scheme for Hamilton--Jacobi--Bellman Equations with Oblique Robin Boundary Conditions

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