Abstract
We study the problems concerning the simulation of nonlinear diffusion processes, governed by an Itô’s stochastic integral equation, and we give some basic results, including a result about the efficiency of a Monte Carlo simulation based on the Euler-Maruyama’s discretization scheme.
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Ogawa, S. Monte carlo simulation of nonlinear diffusion processes. Japan J. Indust. Appl. Math. 9, 25–33 (1992). https://doi.org/10.1007/BF03167193
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DOI: https://doi.org/10.1007/BF03167193