Properties of the EMCEL scheme for approximating irregular diffusions

DOI10.1016/j.jmaa.2021.125931zbMath1484.60082arXiv2004.10316OpenAlexW3020102215MaRDI QIDQ2069772

Stefan Ankirchner, Wolfgang Löhr, Thomas Kruse, Mikhail A. Urusov

Publication date: 21 January 2022

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

Full work available at URL: https://arxiv.org/abs/2004.10316

zbMATH Keywords

numerical schemeMarkov chain approximationspeed measureone-dimensional Markov processsticky point

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Numerical analysis or methods applied to Markov chains (65C40)

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