The solving of boundary value problems by numerical integration of stochastic equations

DOI10.1016/0378-4754(93)E0069-HzbMath0824.60059OpenAlexW2018465549MaRDI QIDQ1897659

Yanyan Li

Publication date: 31 October 1995

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-4754(93)e0069-h

zbMATH Keywords

numerical integrationboundary value problemselliptic equationsstochastic differential systemsDirichlet and Neumann boundary conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (14)

Diffusion with stochastic resetting screened by a semipermeable interface ⋮ Asymptotic properties of Monte Carlo estimators of diffusion processes ⋮ Numerical approximation of the solution in infinite dimensional global optimization using a representation formula ⋮ Diffusion-mediated absorption by partially-reactive targets: Brownian functionals and generalized propagators ⋮ Diffusion-mediated surface reactions and stochastic resetting ⋮ The solving of boundary value problems by numerical integration of stochastic equations ⋮ Simultaneous time and chance discretization for stochastic differential equations ⋮ Second-order discretization schemes of stochastic differential systems for the computation of the invariant law ⋮ A posteriori error analysis and adaptivity for high-dimensional elliptic and parabolic boundary value problems ⋮ Renewal Equations for Single-Particle Diffusion in Multilayered Media ⋮ A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains ⋮ Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise ⋮ Structure preserving stochastic integration schemes in interest rate derivative modeling ⋮ Accumulation times for diffusion-mediated surface reactions

Cites Work

• Unnamed Item
• Discretization and simulation of stochastic differential equations
• Probability methods for approximations in stochastic control and for elliptic equations
• The solving of boundary value problems by numerical integration of stochastic equations
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations
• Expansion of the global error for numerical schemes solving stochastic differential equations

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