Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation (Q2103028)

scientific article; zbMATH DE number 7632168

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English	Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation	scientific article; zbMATH DE number 7632168

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instance of

scholarly article

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title

Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation (English)

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European Journal of Operational Research

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publication date

12 December 2022

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full work available at URL

https://arxiv.org/abs/2107.04260

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zbMATH Keywords

applied probability

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multidimensional diffusions

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sticky boundary

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Markov chain approximation

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Monte Carlo simulation

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describes a project that uses

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Wasserstein convergence rates for random bit approximations of continuous Markov processes

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A mixed finite-element method for elliptic operators with Wentzell boundary condition

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Sticky Brownian Motion and Its Numerical Solution

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Identifiers

Mathematics Subject Classification ID

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10.1016/J.EJOR.2022.07.038

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Sitelinks

Mathematics(1 entry)

mardi Publication:2103028