Linear trend exclusion for models defined with stochastic differential and difference equations

DOI10.1134/S0005117915100057MaRDI QIDQ268657zbMATH OpenFDO

Authors V. D. Konakov, Anna Markova

Publication date 15 April 2016

Published in Automation and Remote Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic systems in control theory (general) (93E03)

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Cited in

(2)

• Nonlinear trend exclusion procedure for models defined by stochastic differential and difference equations
• Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations

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