Weak approximation for stochastic differential equations

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


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.


Stochastic Differential Equation Colored Noise Weak Order Weak Approximation Variance Reduction Technique 
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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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