Efficient schemes for the weak approximation of reflected diffusions

DOI10.1515/mcma.2001.7.1-2.193zbMath0986.65002OpenAlexW2056863036MaRDI QIDQ2724993

Emmanuel Gobet

Publication date: 28 May 2002

Published in: mcma (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2001.7.1-2.193

zbMATH Keywords

weak convergenceEuler approximationreflected diffusionmultidimensional reflected stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (8)

Euler schemes and half-space approximation for the simulation of diffusion in a domain ⋮ Invariant density estimation for a reflected diffusion using an Euler scheme ⋮ A partially reflecting random walk on spheres algorithm for electrical impedance tomography ⋮ A semi-Lagrangian scheme for Hamilton-Jacobi-Bellman equations with oblique derivatives boundary conditions ⋮ Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions ⋮ A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains ⋮ A symmetrized Euler scheme for an efficient approximation of reflected diffusions ⋮ Simulation of diffusions by means of importance sampling paradigm

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