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

页码：155 / 161

页数：7

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