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Continuous-Time Random Walks for the Numerical Solution of Stochastic Differential Equations
This paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical finance, population dynamics, chemical kinetics, epidemiology, biophysics, and polymeric fluids. These schemes are obtained by spatially discretizing the Kolmogorov eq...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
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| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Providence :
American Mathematical Society,
2019.
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| Colección: | Memoirs of the American Mathematical Society Ser.
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| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | This paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical finance, population dynamics, chemical kinetics, epidemiology, biophysics, and polymeric fluids. These schemes are obtained by spatially discretizing the Kolmogorov equation associated with the SDE in such a way that the resulting semi-discrete equation generates a Markov jump process that can be realized exactly using a Monte Carlo method. In this construction the jump size of the approximation can be bounded uniformly in space, which often guarantees that the s. |
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| Descripción Física: | 1 online resource (136 pages) |
| ISBN: | 9781470449193 1470449196 |