Monte Carlo simulation of nonlinear diffusion processes (Q1185114): Difference between revisions
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| Property / reviewed by: Eckhard Platen / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / cites work: Q3813016 / rank | |||
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| Property / cites work: A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS / rank | |||
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| Property / cites work: A survey of numerical methods for stochastic differential equations / rank | |||
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| Property / cites work: Second-order discretization schemes of stochastic differential systems for the computation of the invariant law / rank | |||
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Latest revision as of 17:18, 15 May 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Monte Carlo simulation of nonlinear diffusion processes |
scientific article |
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Monte Carlo simulation of nonlinear diffusion processes (English)
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28 June 1992
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The paper considers simulation algorithms for Itô stochastic differential equations related to some nonlinear diffusion. Some basic results are given about the efficiency of the Euler scheme for this type of dynamics.
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simulation algorithms
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stochastic differential equations
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efficiency of the Euler scheme
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