Analysis of estimation accuracy of the first moments of a Monte Carlo solution to an SDE with Wiener and Poisson components (Q5741315)
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scientific article; zbMATH DE number 6605578
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| English | Analysis of estimation accuracy of the first moments of a Monte Carlo solution to an SDE with Wiener and Poisson components |
scientific article; zbMATH DE number 6605578 |
Statements
Analysis of estimation accuracy of the first moments of a Monte Carlo solution to an SDE with Wiener and Poisson components (English)
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22 July 2016
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stochastic differential equation
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Wiener components
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Poisson components
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Monte Carlo method
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generalized Euler method
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ensemble of trajectories
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integration step
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estimators of moments
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0.8009001016616821
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0.7375034093856812
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0.721749484539032
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0.7192017436027527
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