Weak approximation for stochastic differential equations
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.
KeywordsStochastic Differential Equation Colored Noise Weak Order Weak Approximation Variance Reduction Technique
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