SOME EXPERIMENTS ON NUMERICAL SIMULATIONS OF STOCHASTIC DIFFERENTIAL-EQUATIONS AND A NEW ALGORITHM

被引：15
|
作者：
PETERSEN, WP
机构：
[1] Interdisziplinäres Projektzentrum für Supercomputing, ETH, Zürich
来源：
JOURNAL OF COMPUTATIONAL PHYSICS | 1994年 / 113卷 / 01期
关键词：
D O I：
10.1006/jcph.1994.1119
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
In this paper we compare three second order methods for the numerical integration of Ito stochastic differential equations. One of these methods is new. We consider stability of implicit vs. explicit methods and compare the effects of step size, sample size, and type of increment used to approximate the Brownian motion. (C) 1994 Academic Press, Inc
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页码：75 / 81
页数：7
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