Work

One-dimensional parabolic diffraction equations: pointwise estimates and discretization of related stochastic differential equations with weighted local times

Year: 2012

Type: article

Abstract: In this paper we consider one-dimensional partial differential equations of parabolic type involving a divergence form operator with a discontinuous coefficient and a compatibility transmission condition. We prove existence and uniqueness result by stochastic methods which also allow us to develop a low complexity Monte Carlo numerical resolution method. We get accurate pointwise estimates for the derivatives of the solutionfrom which we get sharp convergence rate estimates for our stochastic numerical method.

Source: Electronic Journal of Probability

DOI: 10.1214/ejp.v17-1905

Authors: Miguel Martinez, Denis Talay

Institutions: Université Paris-Est Marne-la-Vallée, Institut national de recherche en sciences et technologies du numérique, Centre Inria d'Université Côte d'Azur

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $675

OpenAlex ID: W2123514745