Monte Carlo simulation of nonlinear diffusion processes (Q1185114): Difference between revisions
From MaRDI portal
Removed claim: reviewed by (P1447): Item:Q354199 |
ReferenceBot (talk | contribs) Changed an Item |
||
| (2 intermediate revisions by 2 users not shown) | |||
| Property / reviewed by | |||
| Property / reviewed by: Eckhard Platen / rank | |||
Normal rank | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q3813016 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: A survey of numerical methods for stochastic differential equations / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Second-order discretization schemes of stochastic differential systems for the computation of the invariant law / rank | |||
Normal rank | |||
Latest revision as of 16:18, 15 May 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Monte Carlo simulation of nonlinear diffusion processes |
scientific article |
Statements
Monte Carlo simulation of nonlinear diffusion processes (English)
0 references
28 June 1992
0 references
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.
0 references
simulation algorithms
0 references
stochastic differential equations
0 references
efficiency of the Euler scheme
0 references
