Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Markov Chain Approximation of One-Dimensional Sticky Diffusions   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 operator associated with a sticky diffusion
and first passage probabilities are obtained using matrix exponentials. We show
how to compute matrix exponentials efficiently and prove that a carefully
designed scheme achieves second order convergence. We also propose a scheme
based on CTMC approximation for the simulation of sticky diffusions, for which
the Euler scheme may completely fail. The efficiency of our method and its
advantages over alternative approaches are illustrated in the context of bond
pricing in a sticky short rate model for low interest environment.

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The categories of this paper are: funct-an
10
The categories of this paper are: q-bio
11
The categories of this paper are: hep-lat
19
The categories of this paper are: eess
16
The categories of this paper are: stat
31
The categories of this paper are: ao-sci
34
The categories of this paper are: chem-ph
13
The categories of this paper are: quant-ph
23
The categories of this paper are: solv-int
0
The categories of this paper are: hep-ph
9
The categories of this paper are: nlin
12
The categories of this paper are: nucl-th
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The categories of this paper are: dg-ga
3
The categories of this paper are: physics
35
The categories of this paper are: mtrl-th
27
The categories of this paper are: comp-gas