Abstract
In this work, a new numerical method to calculate the characteristics of the solution to stochastic differential equations is presented. This method is based on the Fokker–Planck equation for the transition probability function and the representation of the transition probability function by means of eigenfunctions of the Fokker–Planck operator. The results of the numerical experiments are presented.
Funding source: Belarusian Republican Foundation for Fundamental Research
Award Identifier / Grant number: ü F15-035
Funding statement: This work is supported by Belarusian Republican Foundation for Fundamental Research (grant F15-035).
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© 2017 Walter de Gruyter GmbH, Berlin/Boston
Artikel in diesem Heft
- Frontmatter
- A method for the calculation of characteristics for the solution to stochastic differential equations
- The use of bias correction versus the Jackknife when testing the mean reversion and long term mean parameters in continuous time models
- Monte Carlo algorithm for vector-valued Gaussian functions with preset component accuracies
- Random walk on spheres algorithm for solving transient drift-diffusion-reaction problems
Artikel in diesem Heft
- Frontmatter
- A method for the calculation of characteristics for the solution to stochastic differential equations
- The use of bias correction versus the Jackknife when testing the mean reversion and long term mean parameters in continuous time models
- Monte Carlo algorithm for vector-valued Gaussian functions with preset component accuracies
- Random walk on spheres algorithm for solving transient drift-diffusion-reaction problems