Simulation studies on time discrete diffusion approximations

DOI10.1016/0378-4754(87)90135-2zbMATH Open0632.65146OpenAlexW1991094173MaRDI QIDQ1095628FDOQ1095628

Authors: Horst Liske, Eckhard Platen 

Publication date: 1987

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-4754(87)90135-2

Recommendations

• Simulation of stochastic differential equations
• Some experiments on numerical simulations of stochastic differential equations and a new algorithm
• Discretization and simulation of stochastic differential equations
• scientific article; zbMATH DE number 1217675
• A study of the efficiency of exact methods for diffusion simulation

zbMATH Keywords

Euler methodTaylor expansionmean-square convergenceÎto stochastic differential equation

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05)

Cites Work

• Discretization and simulation of stochastic differential equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (16)

• Stability in Distribution of Numerical Solutions for Stochastic Differential Equations
• Title not available (Why is that?)
• Simulation of stopped diffusions
• Title not available (Why is that?)
• A survey of numerical methods for stochastic differential equations
• Evaluating methods for approximating stochastic differential equations
• Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples
• Quantifying simulator discrepancy in discrete-time dynamical simulators
• Implicit Taylor methods for stiff stochastic differential equations
• \(A\)-stability of Runge-Kutta methods for systems with additive noise
• Title not available (Why is that?)
• Simulation of stochastic differential equations
• Monte Carlo simulation of nonlinear diffusion processes
• A problem with discretizing Vale-Maurelli in simulation studies
• A study of the efficiency of exact methods for diffusion simulation
• A new numerical method for SDEs and its application in circuit simulation

This page was built for publication: Simulation studies on time discrete diffusion approximations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1095628)