440 citations · 905 across the 22 of their papers we have counts for
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math.NA2020★ 10 cited
Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
B. Leimkuhler, A. Sharma, M. V. Tretyakov
A simple-to-implement weak-sense numerical method to approximate reflected stochastic differential equations (RSDEs) is proposed and analysed. It is proved that the method has the…
math.NA2020★ 5 cited
Random walk algorithm for the Dirichlet problem for parabolic integro-differential equation
G. Deligiannidis, S. Maurer, M. V. Tretyakov
We consider stochastic differential equations driven by a general Lévy processes (SDEs) with infinite activity and the related, via the Feynman-Kac formula, Dirichlet problem for p…