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A Numerical Scheme using Excursion Theory for Simulating Stochastic Differential Equations with Reflection and Local Time at a Boundary.
Erika Hausenblas
Published in:
Monte Carlo Methods Appl. (2000)
Keyphrases
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stochastic differential equations
numerical scheme
brownian motion
maximum a posteriori estimation
partial differential equations
anisotropic diffusion
finite difference
multiscale
steady state
variational methods