Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions

A simple-to-implement weak-sense numerical method to approximate reflected stochastic differential equations (RSDEs) is proposed and analysed. It is proved that the method has the first order of weak convergence. Together with the Monte Carlo technique, it can be used to numerically solve linear par...

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Veröffentlicht in:	The Annals of applied probability 2023-06, Vol.33 (3), p.1904
Hauptverfasser:	Leimkuhler, Benedict, Sharma, Akash, Tretyakov, Michael V.
Format:	Artikel
Sprache:	eng
Schlagworte:	Approximation Boundary conditions Boundary value problems Differential equations Ergodic processes Monte Carlo simulation Numerical methods Partial differential equations Random walk Random walk theory
Online-Zugang:	Volltext
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