Monte Carlo simulation of nonlinear diffusion processes. II

DOI10.1007/BF03167212zbMath0798.60060OpenAlexW4238728864MaRDI QIDQ1325130

Shigeyoshi Ogawa

Publication date: 1 November 1994

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf03167212

zbMATH Keywords

second order approximationstochastic differential equationsMonte Carlo simulationdensity estimationnonlinear diffusions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (2)

A stochastic particle method for some one-dimensional nonlinear p.d.e ⋮ An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables

Cites Work

• Unnamed Item
• A survey of numerical methods for stochastic differential equations
• Monte Carlo simulation of nonlinear diffusion processes
• The stochastic integral of noncausal type as an extension of the symmetric integrals
• A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
• On Estimation of a Probability Density Function and Mode

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