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

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