Research output: Contribution to journal › Article › peer-review
On solving stochastic differential equations. / Ermakov, Sergej M. ; Pogosian, Anna A. .
In: Monte Carlo Methods and Applications, Vol. 25, No. 2, 01.06.2019, p. 155-161.Research output: Contribution to journal › Article › peer-review
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TY - JOUR
T1 - On solving stochastic differential equations
AU - Ermakov, Sergej M.
AU - Pogosian, Anna A.
PY - 2019/6/1
Y1 - 2019/6/1
N2 - This paper proposes a new approach to solving Ito stochastic differential equations. It is based on the well-known Monte Carlo methods for solving integral equations (Neumann–Ulam scheme, Markov chain Monte Carlo). The estimates of the solution for a wide class of equations do not have a bias, which distinguishes them from estimates based on difference approximations (Euler, Milstein methods, etc.).
AB - This paper proposes a new approach to solving Ito stochastic differential equations. It is based on the well-known Monte Carlo methods for solving integral equations (Neumann–Ulam scheme, Markov chain Monte Carlo). The estimates of the solution for a wide class of equations do not have a bias, which distinguishes them from estimates based on difference approximations (Euler, Milstein methods, etc.).
KW - Monte Carlo methods
KW - Markov chain Monte Carlo
KW - stochastic differential equations
KW - Markov chain Monte Carlo
KW - Monte Carlo methods
KW - stochastic differential equations
UR - http://www.scopus.com/inward/record.url?scp=85065960792&partnerID=8YFLogxK
UR - http://www.mendeley.com/research/solving-stochastic-differential-equations
U2 - 10.1515/mcma-2019-2038
DO - 10.1515/mcma-2019-2038
M3 - Article
VL - 25
SP - 155
EP - 161
JO - Monte Carlo Methods and Applications
JF - Monte Carlo Methods and Applications
SN - 0929-9629
IS - 2
ER -
ID: 42905698