SDE Simulation in One Click: Fiction or Reality?

被引：0
|
作者：
Barysheva, Alexandra [1 ]
Markov, Alexander [1 ]
机构：
[1] Natl Res Tomsk Polytech Univ, Sch Nucl Sci & Engn, Tomsk, Russia
来源：
PROCEEDINGS OF THE IV INTERNATIONAL RESEARCH CONFERENCE INFORMATION TECHNOLOGIES IN SCIENCE, MANAGEMENT, SOCIAL SPHERE AND MEDICINE (ITSMSSM 2017) | 2017年 / 72卷
关键词：
stochastic differential equations; discretization scheme; Monte-Carlo simulation;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
Stochastic differential equations (further referred to as SDEs) and the models based on SDE are widely used to describe stochastic processes in virtually any area of human activity, such as biology or finance. Unlike an analytical approach to solving SDE, the simulation methods allow to significantly increase the range of practical problems, which examples are given in the paper. Capture III describes the result of the comparative analysis of existing programming tools for SDE simulation, their advantages and shortcomings. It was shown that none of the existing tools completely meet the requirements formulated in Chapter III for the tool's functionality used for building a simulation model.
引用
收藏
页码：434 / 437
页数：4
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