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
收藏
页码：216 / 223
页数：8
相关论文
共 50 条
12345