Add to ORKGThe problem of simulation of phase trajectories of a diffusion process in a bounded domain is considered. Unlike usual approximation of SDE when a time-discretization is exploited, here a space-discretization is recommended. For systems with zero drift the next approximate point on the phase trajectory is found as a solution of the system with coefficients frozen at the previous point by a random walk over the boundary of a small ellipsoid. Theorems on mean-square order of accuracy for such an approximation are proved. An algorithm for approximate construction of exit points from a bounded domain is given. (orig.)SIGLEAvailable from TIB Hannover: RR 5549(347)+a / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische Informationsbiblio...
In this paper we introduce decompositions of diffusion measure which are used to construct an algori...
AbstractIn this paper we introduce a new form of approximation to diffusions represented as solution...
We consider two different particle methods to simulate diffusion processes in continuous space: Rand...
Mean-square approximations, which ensure boundedness of both time and space increments, are construc...
The problem of simulating phase trajectories of a diffusion process in a bounded domain is considere...
A mean-square approximation, which ensures boundedness of both time and space increments, is conside...
of complicated stochastic models such as the diffusion process, simulations of the model play an imp...
Abstract. This paper is concerned with the problem of simulation of (Xt)0tT, the solution of a sto-c...
We consider the Dirichlet problem for equations of elliptic type in a domain G with a boundary #part...
This paper is concerned with the problem of simulation of (Xt)0≤t≤T, the solution of a stochastic di...
In this thesis numerical schemes for processes /X/ generated byoperators with discontinuous coeffici...
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorith...
In this thesis I will present a way of discretizing Lévy processes in space instead of in time. The ...
Let (Y, Z) denote the solution to a forward-backward SDE. If one constructs a random walk B n from t...
Dans cette thèse on étudie des schémas numériques pour des processus X à coeffcients discontinus. Un...
In this paper we introduce decompositions of diffusion measure which are used to construct an algori...
AbstractIn this paper we introduce a new form of approximation to diffusions represented as solution...
We consider two different particle methods to simulate diffusion processes in continuous space: Rand...
Mean-square approximations, which ensure boundedness of both time and space increments, are construc...
The problem of simulating phase trajectories of a diffusion process in a bounded domain is considere...
A mean-square approximation, which ensures boundedness of both time and space increments, is conside...
of complicated stochastic models such as the diffusion process, simulations of the model play an imp...
Abstract. This paper is concerned with the problem of simulation of (Xt)0tT, the solution of a sto-c...
We consider the Dirichlet problem for equations of elliptic type in a domain G with a boundary #part...
This paper is concerned with the problem of simulation of (Xt)0≤t≤T, the solution of a stochastic di...
In this thesis numerical schemes for processes /X/ generated byoperators with discontinuous coeffici...
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorith...
In this thesis I will present a way of discretizing Lévy processes in space instead of in time. The ...
Let (Y, Z) denote the solution to a forward-backward SDE. If one constructs a random walk B n from t...
Dans cette thèse on étudie des schémas numériques pour des processus X à coeffcients discontinus. Un...
In this paper we introduce decompositions of diffusion measure which are used to construct an algori...
AbstractIn this paper we introduce a new form of approximation to diffusions represented as solution...
We consider two different particle methods to simulate diffusion processes in continuous space: Rand...