Simulation of diffusions with boundary conditions
type: Item
instance of: scholarly article
title: Simulation of diffusions with boundary conditions
zbMATH Open document ID: 0549.60072
DOI: 10.1016/S0167-6911(84)80034-1
author: A. M. Rosa
author: Anna Gerardi
author: Federico Marchetti
published in: Systems \& Control Letters
publication date: 1984-01-01T00:00:00Z
review text: In order to treat diffusion processes with boundary conditions the authors propose a simulation scheme based on a finite difference approximation of the generating differential operator of the diffusion. This approach leads to the simulation of a jump Markov process on a grid in space allowing the incorporation of all possible boundary conditions in a simple manner. The convergence of the approximating Markov processes is in the weak sense. The paper contains the results of simulations in three simple cases.
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 65C99
zbMATH DE Number: 3876347
zbMATH Keywords: finite difference approximation
zbMATH Keywords: jump Markov process
zbMATH Keywords: results of simulations
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 3876347