Monte-Carlo simulation of stochastic differential systems - a geometrical approach (Q2476884)
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scientific article; zbMATH DE number 5248640
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| English | Monte-Carlo simulation of stochastic differential systems - a geometrical approach |
scientific article; zbMATH DE number 5248640 |
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Monte-Carlo simulation of stochastic differential systems - a geometrical approach (English)
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12 March 2008
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From the authors' summary: We develop some numerical schemes for \(d\)-dimensional stochastic differential equations derived from Milstein approximations of diffusions which are obtained by lifting the solutions of the stochastic differential equations to higher dimensional spaces using geometrical tools, in the line of the work of \textit{A. B. Cruzeiro, P. Malliavin} and \textit{A. Thalmaier} [C. R., Math., Acad. Sci. Paris 338, No. 6, 481--486 (2004; Zbl 1046.65006)].
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Monte Carlo methods
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numerical approximation
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stochastic differential equations
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diffusion equations
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geometric-numerical approach
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Milstein scheme
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0.7435440421104431
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0.7296345233917236
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0.7293971180915833
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