A method for the calculation of characteristics for the solution to stochastic differential equations

DOI10.1515/MCMA-2017-0110MaRDI QIDQ2409053zbMATH OpenOpenAlexFDO

Authors A. D. Egorov, Victor Malyutin

Publication date 10 October 2017

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma-2017-0110

zbMATH Keywords

eigenfunctions expansionFokker-Planck equationFokker-Planck operatornumerical experimentstochastic differential equationtransition probability function

Mathematics Subject Classification ID

Fokker-Planck equations (35Q84) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• A numerical method for investigating the statistical dynamics of stochastic systems
• Application of stochastic equivalence for solving parabolic partial differential equations
• New frequency characteristics of the numerical solution of stochastic differential equations
• scientific article; zbMATH DE number 4003481
• A novel approach to construct numerical methods for stochastic differential equations

Cites work

• A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS
• A survey of numerical methods for stochastic differential equations
• Approximate formulas for expectations of functionals of solutions to stochastic differential equations
• Approximations of functional integrals with respect to measures generated by solutions of stochastic differential equations
• scientific article; zbMATH DE number 3721546 (Why is no real title available?)
• scientific article; zbMATH DE number 6830022 (Why is no real title available?)
• scientific article; zbMATH DE number 270739 (Why is no real title available?)
• scientific article; zbMATH DE number 3272009 (Why is no real title available?)
• scientific article; zbMATH DE number 3408799 (Why is no real title available?)
• Numerical solution of SDE through computer experiments. Including floppy disk
• Semi-Stable Stochastic Processes
• Stochastic processes in physics and chemistry.
• The Fokker-Planck equation. Methods of solution and applications

Cited in

(6)

• A numerical method for investigating the statistical dynamics of stochastic systems
• scientific article; zbMATH DE number 1337238 (Why is no real title available?)
• scientific article; zbMATH DE number 1471744 (Why is no real title available?)
• Computing survival probabilities based on stochastic differential models
• Combinatorics for calculating expectation values of functions in systems with evolution governed by stochastic differential equations
• Application of semiclassical approximation to stochastic differential equations

This page was built for publication: A method for the calculation of characteristics for the solution to stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2409053)