Numerical Approximation for Functionals of Reflecting Diffusion Processes
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Publication:4388814
DOI10.1137/S0036139995291040zbMath0913.60031MaRDI QIDQ4388814
Barbara Pacchiarotti, Cristina Costantini, Flavio Sartoretto
Publication date: 10 May 1998
Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)
weak convergenceMonte Carlo methodNeumann boundary conditionsnumerical schemesmixed boundary conditionsreflecting boundary conditionsstochastic differential equations with reflection
Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Functional limit theorems; invariance principles (60F17) Boundary theory for Markov processes (60J50)
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