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Comparison of exact and approximate solutions of a parabolic system of equations with degeneracy

โœ Scribed by V.F. Baklanovskaya


Publisher
Elsevier Science
Year
1979
Weight
867 KB
Volume
19
Category
Article
ISSN
0041-5553

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Approximation of First Exit Times of Dif
โœ Eckhard Platen ๐Ÿ“‚ Article ๐Ÿ“… 1983 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 728 KB

In the paper the first exit time of a diffusion from a bounded region is approximated by first exit times of time discrete diffusion approximations. Their speedof convergence is estimated wit,h respect to the maximum step size. Finally, this result is applied for the construction of approximate solu