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Continuous-time random walks for the numerical solution of stochastic differential equations
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 eq...
| Autores principales: | , |
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| Lenguaje: | eng |
| Publicado: |
American Mathematical Society
2019
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| Materias: | |
| Acceso en línea: | http://cds.cern.ch/record/2667897 |