Monte Carlo simulation of nonlinear diffusion processes (Q1185114)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Monte Carlo simulation of nonlinear diffusion processes |
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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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