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Parabolic approximations of diffusive–dispersive equations

✍ Scribed by Corli, Andrea; Rohde, Christian; Schleper, Veronika


Book ID
122073913
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
473 KB
Volume
414
Category
Article
ISSN
0022-247X

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Approximation of First Exit Times of Dif
✍ Eckhard Platen 📂 Article 📅 1983 🏛 John Wiley and Sons 🌐 English ⚖ 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