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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...

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Détails bibliographiques
Cote:Libro Electrónico
Auteur principal: Bou-Rabee, Nawaf
Autres auteurs: Vanden-Eijnden, Eric
Format: Électronique eBook
Langue:Inglés
Publié: Providence : American Mathematical Society, 2019.
Collection:Memoirs of the American Mathematical Society Ser.
Sujets:
Accès en ligne:Texto completo