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
相关论文
共 50 条
  • [31] Stochastic differential equations and geometric flows
    Unal, G
    Krim, H
    Yezzi, A
    IEEE TRANSACTIONS ON IMAGE PROCESSING, 2002, 11 (12) : 1405 - 1416
  • [32] The Magnus Expansion for Stochastic Differential Equations
    Wang, Zhenyu
    Ma, Qiang
    Yao, Zhen
    Ding, Xiaohua
    JOURNAL OF NONLINEAR SCIENCE, 2020, 30 (01) : 419 - 447
  • [33] Integration of stochastic differential equations on a computer
    Mannella, R
    INTERNATIONAL JOURNAL OF MODERN PHYSICS C, 2002, 13 (09): : 1177 - 1194
  • [34] Identifying Latent Stochastic Differential Equations
    Hasan, Ali
    Pereira, Joao M.
    Farsiu, Sina
    Tarokh, Vahid
    IEEE TRANSACTIONS ON SIGNAL PROCESSING, 2022, 70 : 89 - 104
  • [35] ON THE CLOSURE OF STOCHASTIC DIFFERENTIAL EQUATIONS OF MOTION
    Tleubergenov, M., I
    Ibraeva, G. T.
    EURASIAN MATHEMATICAL JOURNAL, 2021, 12 (02): : 82 - 89
  • [36] Applications of stochastic differential equations in electronics
    Allison, A
    Abbot, D
    Unsolved Problems of Noise and Fluctuations, 2005, 800 : 15 - 23
  • [37] The Magnus Expansion for Stochastic Differential Equations
    Zhenyu Wang
    Qiang Ma
    Zhen Yao
    Xiaohua Ding
    Journal of Nonlinear Science, 2020, 30 : 419 - 447
  • [38] On Weak Solutions of Stochastic Differential Equations
    Hofmanova, Martina
    Seidler, Jan
    STOCHASTIC ANALYSIS AND APPLICATIONS, 2012, 30 (01) : 100 - 121
  • [39] DESTABILISING NONNORMAL STOCHASTIC DIFFERENTIAL EQUATIONS
    D'ambrosio, Raffaele
    Guglielmi, Nicola
    Scalone, Carmela
    DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B, 2023, 28 (03): : 1632 - 1642
  • [40] Stochastic differential equations with random coefficients
    KohatsuHiga, A
    Leon, JA
    Nualart, D
    BERNOULLI, 1997, 3 (02) : 233 - 245
12345