Random walks for solving Robin boundary value problems and sampling in a bounded domain
A weak-sense numerical method to approximate reflected stochastic differential equations (RSDEs) is proposed and analysed. The method is simple to implement. 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 s...
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| Format: | Thesis (University of Nottingham only) |
| Language: | English |
| Published: |
2022
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| Online Access: | https://eprints.nottingham.ac.uk/69123/ |