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
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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