Euler’s Scheme and Wiener’s Measure

Zeev Schuss*

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

Abstract

A discrete computer simulation of an Itô SDE is a necessary computational tool for the study of the behavior of diffusing particles in situations in which the FPE does not provide the needed information or when its analytical or numerical solutions are not feasible. This is the situation, for example, in the study of interacting particles, in the study of diffusion through narrow passages, in the simulation of ions in a small volume in a large continuum, and many more situations.

Original languageEnglish
Title of host publicationApplied Mathematical Sciences (Switzerland)
PublisherSpringer
Pages35-88
Number of pages54
DOIs
StatePublished - 2013

Publication series

NameApplied Mathematical Sciences (Switzerland)
Volume186
ISSN (Print)0066-5452
ISSN (Electronic)2196-968X

Keywords

  • Absorb Boundary Condition
  • Boundary Behavior
  • Euler Scheme
  • Planck Equation
  • Robin Boundary Condition

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