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Weak approximation for stochastic differential equations

  • Grigori N. Milstein
  • Michael V. Tretyakov
Part of the Scientific Computation book series (SCIENTCOMP)

Abstract

Using probabilistic representations together with Monte Carlo methods, a complex multi-dimensional problem for partial differential equations can be reduced to the Cauchy problem for a system of SDEs. The last system, which contains one independent variable only, arises as a characteristic system of the considered problems for PDEs.

Keywords

Stochastic Differential Equation Colored Noise Weak Order Weak Approximation Variance Reduction Technique 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2004

Authors and Affiliations

  • Grigori N. Milstein
    • 1
    • 2
  • Michael V. Tretyakov
    • 3
  1. 1.Weierstrass Institute for Applied Analysis and StochasticsBerlinGermany
  2. 2.Department of MathematicsUral State UniversityEkaterinburgRussia
  3. 3.Department of MathematicsUniversity of LeicesterLeicesterUK

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