Simulation studies on time discrete diffusion approximations (Q1095628): Difference between revisions
From MaRDI portal
Created a new Item |
ReferenceBot (talk | contribs) Changed an Item |
||
(5 intermediate revisions by 4 users not shown) | |||
Property / reviewed by | |||
Property / reviewed by: Q796897 / rank | |||
Property / reviewed by | |||
Property / reviewed by: Melvin D. Lax / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/0378-4754(87)90135-2 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W1991094173 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3917262 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3331110 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Discretization and simulation of stochastic differential equations / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3048009 / rank | |||
Normal rank | |||
links / mardi / name | links / mardi / name | ||
Latest revision as of 13:37, 18 June 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Simulation studies on time discrete diffusion approximations |
scientific article |
Statements
Simulation studies on time discrete diffusion approximations (English)
0 references
1987
0 references
This paper presents and compares the accuracy of numerical results obtained when several methods for simulating the solution to an Îto stochastic differential equation are applied to an example whose exact solution is known. Using 100 blocks with 100 trajectories per block and examining mean-square convergence for three step sizes Euler, second and third order Taylor, and second order derivative free methods, where the order is with respect to mean square convergence, are applied. The same experiment but with different time interval and step sizes is performed to examine mean convergence using Euler, second order Taylor, and second order derivative free methods whose order is with respect to mean convergence.
0 references
Euler method
0 references
Taylor expansion
0 references
Îto stochastic differential equation
0 references
mean-square convergence
0 references