Continuous-time random walks for the numerical solution of stochastic differential equations. Memoirs of the American Mathematical Society; Bd. Volume 256, Number 1228.

Bou-rabee, Nawaf; Vanden-eijnden, Eric

ISBN 10: 1470431815 / ISBN 13: 9781470431815

Editore: Providence, American Mathematical Society, 2018

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Ex-library with stamp and library-signature. GOOD condition, some traces of use. C-03357 9781470431815 Sprache: Englisch Gewicht in Gramm: 150. Codice articolo 2489264

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Titolo: Continuous-time random walks for the ...

Casa editrice: Providence, American Mathematical Society

Data di pubblicazione: 2018

Legatura: Softcover

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Riassunto:

This paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical finance, population dynamics, chemical kinetics, epidemiology, biophysics, and polymeric fluids. These schemes are obtained by spatially discretizing the Kolmogorov equation associated with the SDE in such a way that the resulting semi-discrete equation generates a Markov jump process that can be realized exactly using a Monte Carlo method. In this construction the jump size of the approximation can be bounded uniformly in space, which often guarantees that the schemes are numerically stable for both finite and long time simulation of SDEs.