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A method for the calculation of characteristics for the solution to stochastic differential equations

Author

Listed:
  • Egorov Alexander

    (National Academy of Sciences of Belarus, Institute of Mathematics, Minsk, Belarus)

  • Malyutin Victor

    (National Academy of Sciences of Belarus, Institute of Mathematics, Minsk, Belarus)

Abstract

In this work, a new numerical method to calculate the characteristics of the solution to stochastic differential equations is presented. This method is based on the Fokker–Planck equation for the transition probability function and the representation of the transition probability function by means of eigenfunctions of the Fokker–Planck operator. The results of the numerical experiments are presented.

Suggested Citation

  • Egorov Alexander & Malyutin Victor, 2017. "A method for the calculation of characteristics for the solution to stochastic differential equations," Monte Carlo Methods and Applications, De Gruyter, vol. 23(3), pages 149-157, September.
    • Handle: RePEc:bpj:mcmeap:v:23:y:2017:i:3:p:149-157:n:1
    DOI: 10.1515/mcma-2017-0110
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    References listed on IDEAS

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    1. Egorov A. & Sabelfeld K., 2010. "Approximate formulas for expectations of functionals of solutions to stochastic differential equations," Monte Carlo Methods and Applications, De Gruyter, vol. 16(2), pages 95-127, January.
    2. Egorov A. D. & Zherelo A. V., 2004. "Approximations of functional integrals with respect to measures generated by solutions of stochastic differential equations," Monte Carlo Methods and Applications, De Gruyter, vol. 10(3-4), pages 257-264, December.
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    1. Egorov A. & Sabelfeld K., 2010. "Approximate formulas for expectations of functionals of solutions to stochastic differential equations," Monte Carlo Methods and Applications, De Gruyter, vol. 16(2), pages 95-127, January.
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