On the variance of the estimate of the functional of the diffusion process in a domain with a reflecting bounry

DOI10.15372/SJNM20220402MaRDI QIDQ5882864

S. A. Gusev

Publication date: 29 March 2023

Published in: Сибирский журнал вычислительной математики (Search for Journal in Brave)

Full work available at URL: http://mathnet.ru/eng/sjvm816

zbMATH Keywords

stochastic differential equationsdiffusion processEuler methodreflecting boundaryvariance of Monte Carlo method estimation

Mathematics Subject Classification ID

Numerical analysis (65-XX) Partial differential equations (35-XX)

Cites Work

• Unnamed Item
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• Stochastic differential equations with reflecting boundary condition in convex regions
• Weak approximation of killed diffusion using Euler schemes.
• Stochastic differential equations with reflecting boundary conditions
• Numerical Approximation for Functionals of Reflecting Diffusion Processes
• A symmetrized Euler scheme for an efficient approximation of reflected diffusions
• Minimizing the variance of a mathematical expectation estimate for a diffusion process functional based on a parametric transformation of a parabolic boundary value problem

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