On Markov chain approximations for computing boundary crossing probabilities of diffusion processes.
Vincent LiangKonstantin BorovkovPublished in: J. Appl. Probab. (2023)
Keyphrases
- markov chain
- diffusion processes
- transition probabilities
- steady state
- monte carlo
- diffusion process
- state space
- stationary distribution
- random walk
- monte carlo method
- information diffusion
- denoising
- partial differential equations
- multiscale
- transition matrix
- diffusion equation
- scale spaces
- nonlinear diffusion
- anisotropic diffusion
- probability distribution
- social networks