Finite-difference modeling à la Mickens of the distribution of the stopping time in a stochastic differential equation

DOI10.1080/10236198.2017.1284828zbMath1376.65003OpenAlexW2579934501WikidataQ115296079 ScholiaQ115296079MaRDI QIDQ4978649

José Villa Morales, Jorge Eduardo Macías-Díaz

Publication date: 25 August 2017

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10236198.2017.1284828

zbMATH Keywords

stochastic differential equationsnonlinear partial differential equationsdynamic consistencyprobability distribution of hitting timeMickens-type finite difference methodParis's 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) Finite difference methods for boundary value problems involving PDEs (65N06) Solutions to PDEs in closed form (35C05)

Related Items (3)

Numerical and mathematical analysis of blow-up problems for a stochastic differential equation ⋮ A structure-preserving method for the distribution of the first hitting time to a moving boundary for some Gaussian processes ⋮ Positivity-preserving numerical schemes for stochastic differential equations

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