Please use this identifier to cite or link to this item: http://hdl.handle.net/10995/111189
Title: Numerical Methods in the Weak Sense for Stochastic Differential Equations with Small Noise
Authors: Milstein, G. N.
Tret'yakov, M. V.
Issue Date: 1997
Publisher: Society for Industrial and Applied Mathematics Publications
Society for Industrial & Applied Mathematics (SIAM)
Citation: Milstein G. N. Numerical Methods in the Weak Sense for Stochastic Differential Equations with Small Noise / G. N. Milstein, M. V. Tret'yakov // SIAM Journal on Numerical Analysis. — 1997. — Vol. 34. — Iss. 6. — P. 2142-2167.
Abstract: We propose a new approach to constructing weak numerical methods for finding solutions to stochastic systems with small noise. For these methods we prove an error estimate in terms of products hiεj (h is a time increment, ε is a small parameter). We derive various efficient weak schemes for systems with small noise and study the Talay-Tubaro expansion of their global error. An efficient approach to reducing the Monte-Carlo error is presented. Some of the proposed methods are tested by calculating the Lyapunov exponent of a linear system with small noise.
Keywords: COMPUTER SIMULATION
MONTE-CARLO METHODS
SMALL NOISE
WEAK APPROXIMATION
URI: http://hdl.handle.net/10995/111189
Access: info:eu-repo/semantics/openAccess
SCOPUS ID: 0001625720
ISSN: 0036-1429
Appears in Collections:Научные публикации, проиндексированные в SCOPUS и WoS CC

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