Simulation studies on time discrete diffusion approximations

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Probabilistic methods, stochastic differential equations (65C99) Numerical methods for initial value problems involving ordinary differential equations (65L05)

Review text

This paper presents and compares the accuracy of numerical results obtained when several methods for simulating the solution to an Îto stochastic differential equation are applied to an example whose exact solution is known. Using 100 blocks with 100 trajectories per block and examining mean-square convergence for three step sizes Euler, second and third order Taylor, and second order derivative free methods, where the order is with respect to mean square convergence, are applied. The same experiment but with different time interval and step sizes is performed to examine mean convergence using Euler, second order Taylor, and second order derivative free methods whose order is with respect to mean convergence.

Recommendations

Cites work

Cited in

(17)

This page was built for publication: Simulation studies on time discrete diffusion approximations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1095628)