The approximate calculation of invariant measures of diffusions via finite difference approximations to degenerate elliptic partial differential equations

DOI10.1016/0022-247X(75)90126-2zbMath0313.65083MaRDI QIDQ1220370

Harold J. Kushner, Chen-Fu. Yu

Publication date: 1975

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) 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) Schrödinger operator, Schrödinger equation (35J10) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)

Related Items (4)

Continuous-time Random Walks for the Numerical Solution of Stochastic Differential Equations ⋮ SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations ⋮ Probabilistic methods for finite difference approximations to degenerate elliptic and parabolic equations with Neumann and Dirichlet boundary conditions ⋮ Sticky Brownian Motion and Its Numerical Solution

Cites Work

• Unnamed Item
• Probability methods for the convergence of finite difference approximations to partial differential equations
• Probability limit theorems and the convergence of finite difference approximations of partial differential equations

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