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Description
  • A map on the n-dimensional Eucleidian space is considered. Diffusion given by an n-dimensional stochastic differential equation dX=b(X)dt+ s(X)dB is constructed to stay in region K=[x:f(x) less or equal c] forever in a way that the boundary S=[x:f(x)=c] is either absorbing or reflecting. The purpose of the paper is to provide easy to apply conditions on the coefficients b(x) and s(x) with the aim to exhibit simulations of the diffusion with the above properties.
  • A map on the n-dimensional Eucleidian space is considered. Diffusion given by an n-dimensional stochastic differential equation dX=b(X)dt+ s(X)dB is constructed to stay in region K=[x:f(x) less or equal c] forever in a way that the boundary S=[x:f(x)=c] is either absorbing or reflecting. The purpose of the paper is to provide easy to apply conditions on the coefficients b(x) and s(x) with the aim to exhibit simulations of the diffusion with the above properties. (en)
Title
  • Diffusion with an reflecting and Absorbing Level Set Boundary - A Simulation Study
  • Diffusion with an reflecting and Absorbing Level Set Boundary - A Simulation Study (en)
skos:prefLabel
  • Diffusion with an reflecting and Absorbing Level Set Boundary - A Simulation Study
  • Diffusion with an reflecting and Absorbing Level Set Boundary - A Simulation Study (en)
skos:notation
  • RIV/00216208:11320/10:10051756!RIV11-MSM-11320___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • Z(MSM0021620839)
http://linked.open...iv/cisloPeriodika
  • 10
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 254420
http://linked.open...ai/riv/idVysledku
  • RIV/00216208:11320/10:10051756
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Simulations; Stochastic Differencial Equations; Diffusion (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • CZ - Česká republika
http://linked.open...ontrolniKodProRIV
  • [C520E6015A6E]
http://linked.open...i/riv/nazevZdroje
  • Acta Universitatis Carolinae - Mathematica et Physica
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 51
http://linked.open...iv/tvurceVysledku
  • Štěpán, Josef
  • Staněk, Jakub
http://linked.open...n/vavai/riv/zamer
issn
  • 0001-7140
number of pages
http://localhost/t...ganizacniJednotka
  • 11320
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