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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...
| Cote: | Libro Electrónico |
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| Format: | Électronique eBook |
| Langue: | Inglés |
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Providence :
American Mathematical Society,
2019.
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| Collection: | Memoirs of the American Mathematical Society Ser.
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| Sujets: | |
| Accès en ligne: | Texto completo |