Algorithmic Solution of Stochastic Differential Equations

被引：0

作者：

Schurz, Henri ^{[1
]}

机构：

[1] Southern Illinois Univ, Dept Math, 1245 Lincoln Dr, Carbondale, IL 62901 USA

来源：

ALGORITHMS | 2010年 / 3卷 / 03期

关键词：

stochastic differential equations; strong solution; PDE-based algorithm;

D O I：

10.3390/a3030216

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

This brief note presents an algorithm to solve ordinary stochastic differential equations (SDEs). The algorithm is based on the joint solution of a system of two partial differential equations and provides strong solutions for finite-dimensional systems of SDEs driven by standard Wiener processes and with adapted initial data. Several examples illustrate its use.

引用

页码：216 / 223

页数：8

共 16 条

[1]

Allen E., 2008, MODELING ITO STOCHAS

[2]

[Anonymous], 1988, INTRO STOCHASTIC DIF

[3]

Arnold Ludwig, 1974, STOCHASTIC DIFFERENT

[4]

Friedman A., 1975, PROBABILITY MATH STA, V28

[5]

Gikhman I.I., 1971, STOCHASTISCHE DIFFER

[6]

Ito K., 1951, NAGOYA MATH J, V3, P55, DOI DOI 10.1017/S0027763000012216

[7]

Ito K., 1944, P IMPERIAL ACAD, V20, P519, DOI DOI 10.3792/PIA/1195572786

[8]

Karatzas I., 1988, BROWNIAN MOTION STOC, DOI 10.1007/978-1-4612-0949-2

[9]

Krylov N.V., 1995, INTRO THEORY DIFFUSI

[10]

Oksendal B., 1985, STOCHASTIC INTEGRATI

← 1 2 →