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math.PR2021★ 3 cited
Simulation of Multidimensional Diffusions with Sticky Boundaries via Markov Chain Approximation
Christian Meier, Lingfei Li, Gongqiu Zhang
We develop a new simulation method for multidimensional diffusions with sticky boundaries. The challenge comes from simulating the sticky boundary behavior, for which standard meth…
math.PR2019★ 22 cited
Markov Chain Approximation of One-Dimensional Sticky Diffusions
Christian Meier, Lingfei Li, Gongqiu Zhang
We develop continuous time Markov chain (CTMC) approximation of one-dimensional diffusions with a lower sticky boundary. Approximate solutions to the action of the Feynman-Kac oper…