TY - CHAP
T1 - Euler’s Scheme and Wiener’s Measure
AU - Schuss, Zeev
N1 - Publisher Copyright:
© Author 2013.
PY - 2013
Y1 - 2013
N2 - 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.
AB - 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.
KW - Absorb Boundary Condition
KW - Boundary Behavior
KW - Euler Scheme
KW - Planck Equation
KW - Robin Boundary Condition
UR - http://www.scopus.com/inward/record.url?scp=85068165173&partnerID=8YFLogxK
U2 - 10.1007/978-1-4614-7687-0_2
DO - 10.1007/978-1-4614-7687-0_2
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AN - SCOPUS:85068165173
T3 - Applied Mathematical Sciences (Switzerland)
SP - 35
EP - 88
BT - Applied Mathematical Sciences (Switzerland)
PB - Springer
ER -