Minimizing the variance of a mathematical expectation estimate for a diffusion process functional based on a parametric transformation of a parabolic boundary value problem
DOI10.1134/S1995423911020030zbMath1299.65009MaRDI QIDQ5407678
Publication date: 7 April 2014
Published in: Numerical Analysis and Applications (Search for Journal in Brave)
stochastic differential equationnumerical resultsdiffusion processEuler methodabsorbing boundaryvariance of an estimate of the functional
Initial-boundary value problems for second-order parabolic equations (35K20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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