On solving stochastic differential equations

被引：2
|
作者：
Ermakov, Sergej M. [1 ]
Pogosian, Anna A. [1 ]
机构：
[1] St Petersburg Univ, Univ Pr 13, St Petersburg 198504, Russia
来源：
MONTE CARLO METHODS AND APPLICATIONS | 2019年 / 25卷 / 02期
基金：
俄罗斯科学基金会;
关键词：
Monte Carlo methods; Markov chain Monte Carlo; stochastic differential equations;
D O I：
10.1515/mcma-2019-2038
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.).
引用
收藏
页码：155 / 161
页数：7
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