An exponential timestepping algorithm for diffusion with discontinuous coefficients
نویسندگان
چکیده
منابع مشابه
On Diffusion Approximation with Discontinuous Coefficients
Convergence of stochastic processes with jumps to diffusion processes is investigated in the case when the limit process has discontinuous coefficients. An example is given in which the diffusion approximation of a queueing model yields a diffusion process with discontinuous diffusion and drift coefficients.
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ژورنال
عنوان ژورنال: Journal of Computational Physics
سال: 2019
ISSN: 0021-9991
DOI: 10.1016/j.jcp.2019.07.013