Application of semiclassical approximation to stochastic differential equations

被引：0

作者：

Malyutin, Victor ^{[2
]}

Nurjanov, Berdakh ^{[1
]}

机构：

[1] Acad Sci Uzbek, VI Romanovsky Inst Math, Karakalpak Branch, Tashkent, Uzbekistan

[2] Natl Acad Sci Belarus, Inst Math, Dept Nonlinear & Stochast Anal, Minsk, BELARUS

来源：

MONTE CARLO METHODS AND APPLICATIONS | 2024年 / 30卷 / 04期

关键词：

Semiclassical approximation; stochastic differential equation; functional integral; classical trajectory;

D O I：

10.1515/mcma-2024-2017

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A method for calculating the characteristics of stochastic differential equations using semiclassical approximation is proposed. For a stochastic differential equation arising in the study of the pure birth process (Yule process) and the Cox Ingersoll Ross (CIR) model, an analysis of the accuracy of the semiclassical approximation was carried out. This analysis is based on a comparison of approximate values with exact values for the mathematical expectation of a solution to the equation.

引用

页码：389 / 395

页数：7

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