Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
DOI10.1214/22-aap1856zbMath1525.60086arXiv2006.15670OpenAlexW4367850809MaRDI QIDQ6104015
Benedict J. Leimkuhler, Unnamed Author, M. V. Tretyakov
Publication date: 5 June 2023
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2006.15670
Neumann boundary value problemweak approximationreflected stochastic differential equationsergodic limitsreflected Brownian dynamicssampling from distributions with compact supportsampling on manifoldstochastic gradient system in bounded domains
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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