Analysis of estimation accuracy of the first moments of a Monte Carlo solution to an SDE with Wiener and Poisson components

DOI10.1134/S1995423916010031zbMath1349.65029OpenAlexW2335728280MaRDI QIDQ5741315

S. S. Artem'ev, M. A. Yakunin

Publication date: 22 July 2016

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

Full work available at URL: https://doi.org/10.1134/s1995423916010031

zbMATH Keywords

stochastic differential equationMonte Carlo methodgeneralized Euler methodPoisson componentsintegration stepensemble of trajectoriesestimators of momentsWiener components

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30)

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