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

S. A. Gusev

Publication date: 7 April 2014

Published in: Numerical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationnumerical resultsdiffusion processEuler methodabsorbing boundaryvariance of an estimate of the functional

Mathematics Subject Classification ID

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)

Related Items (2)

On the variance of the estimate of the functional of the diffusion process in a domain with a reflecting bounry ⋮ A modification of numerical methods for stochastic differential equations with the first integral

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