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Simulation studies on time discrete diffusion approximations

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  • Liske, Horst
  • Platen, Eckhard

Abstract

The paper presents results of simulation studies carried out with several time discrete simulation algorithms for diffusion processes with regard to the mean square and the mean convergence criterion.

Suggested Citation

  • Liske, Horst & Platen, Eckhard, 1987. "Simulation studies on time discrete diffusion approximations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 29(3), pages 253-260.
    • Handle: RePEc:eee:matcom:v:29:y:1987:i:3:p:253-260
    DOI: 10.1016/0378-4754(87)90135-2
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    Cited by:

    1. Yoshihiro Saito & Taketomo Mitsui, 1993. "Simulation of stochastic differential equations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(3), pages 419-432, September.
    2. Kazimierczyk, Piotr, 1992. "Explicit correction formulae for parametric identification of stochastic differential systems," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 34(5), pages 433-450.
    3. Makroglou, Athena, 1992. "Collocation methods for stochastic Volterra integro-differential equations with random forcing functions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 34(5), pages 459-466.

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