Efficient schemes for the weak approximation of reflected diffusions-Reference-Cited by-同舟云学术

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Efficient schemes for the weak approximation of reflected diffusions

Published:2001 Issue:1-2 Volume:7 Page:
ISSN:0929-9629
Container-title:Monte Carlo Methods and Applications
language:
Short-container-title:

Author:

GOBET Emmanuel

Publisher

Walter de Gruyter GmbH

Subject

Applied Mathematics,Statistics and Probability

Link

https://www.degruyter.com/document/doi/10.1515/mcma.2001.7.1-2.193/pdf

Cited by 9 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions;The Annals of Applied Probability;2023-06-01

2. A semi-Lagrangian scheme for Hamilton–Jacobi–Bellman equations with oblique derivatives boundary conditions;Numerische Mathematik;2022-12-24

3. A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains;Stochastic Systems;2019-06

4. A partially reflecting random walk on spheres algorithm for electrical impedance tomography;Journal of Computational Physics;2015-12

5. A new numerical scheme for a class of reflected stochastic differential equations;Monte Carlo Methods and Applications;2013-01-01

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