A modified Euler-Maruyama method is proposed and proven to converge weakly with order 1 to one-dimensional sticky diffusions.
and H OLMES -C ERFON , M
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.NA 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
A modified Euler-Maruyama method to simulate a one-dimensional sticky diffusion
A modified Euler-Maruyama method is proposed and proven to converge weakly with order 1 to one-dimensional sticky diffusions.