scientific article
From MaRDI portal
Publication:3331110
zbMath0542.93077MaRDI QIDQ3331110
Publication date: 1984
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
discretizationnonlinear filteringmultidimensional diffusion processnumerical computation of expectations
Filtering in stochastic control theory (93E11) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Numerical methods for initial value problems involving ordinary differential equations (65L05)
Related Items (42)
Asymptotic properties of Monte Carlo estimators of diffusion processes ⋮ Simulation of stochastic differential equations ⋮ Weak Milstein scheme without commutativity condition and its error bound ⋮ Simulation studies on time discrete diffusion approximations ⋮ Numerical simulation of stochastic evolution equations associated to quantum Markov semigroups ⋮ High Order Integrator for Sampling the Invariant Distribution of a Class of Parabolic Stochastic PDEs with Additive Space-Time Noise ⋮ Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods ⋮ Numerical Methods for Stochastic Simulation: When Stochastic Integration Meets Geometric Numerical Integration ⋮ Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family ⋮ Asymptotic error distributions of the Euler method for continuous-time nonlinear filtering ⋮ Complexity and effective dimension of discrete Lévy areas ⋮ First-order weak balanced schemes for stochastic differential equations ⋮ Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures ⋮ On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs ⋮ Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations ⋮ Numerical methods for simulation of stochastic differential equations ⋮ A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation ⋮ Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process ⋮ Capital adequacy and risk management in banking industry ⋮ An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions ⋮ Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution ⋮ Asymptotic error distribution for the Euler scheme with locally Lipschitz coefficients ⋮ A new simulation approach to the LIBOR market model ⋮ Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations ⋮ On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes ⋮ Runge-Kutta methods for Itô stochastic differential equations with scalar noise ⋮ Expansion of the global error for numerical schemes solving stochastic differential equations ⋮ Runge-Kutta methods for numerical solution of stochastic differential equations ⋮ On the discretization in time of parabolic stochastic partial differential equations ⋮ Weak Euler Scheme for Lévy-Driven Stochastic Differential Equations ⋮ Monte Carlo methods for backward equations in nonlinear filtering ⋮ Numerical simulation of the stochastic Korteweg-de Vries equation ⋮ Modified Euler scheme for the weak approximation of stochastic differential equations driven by the Wiener process ⋮ A weak approximation method for irregular functionals of hypoelliptic diffusions ⋮ A Stable Numerical Scheme for Stochastic Differential Equations with Multiplicative Noise ⋮ An asymptotically efficient difference formula for solving stochastic differential equations ⋮ Cubature Methods and Applications ⋮ Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models ⋮ Numerical solution of conservative finite-dimensional stochastic Schrödinger equations ⋮ Convergence and stability of the semi-implicit Euler method for linear stochastic delay integro-differential equations ⋮ PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS ⋮ Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations
This page was built for publication:
