Random walks for solving Robin boundary value problems and sampling in a bounded domain

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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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Bibliographic Details
Main Author:	Sharma, Akash
Format:	Thesis (University of Nottingham only)
Language:	English
Published:	2022
Subjects:	stochastic differential equations partial differential equation Robin boundary value problems
Online Access:	https://eprints.nottingham.ac.uk/69123/

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