Minimizing the variance of a mathematical expectation estimate for a diffusion process functional based on a parametric transformation of a parabolic boundary value problem (Q5407678)
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scientific article; zbMATH DE number 6280780
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Minimizing the variance of a mathematical expectation estimate for a diffusion process functional based on a parametric transformation of a parabolic boundary value problem |
scientific article; zbMATH DE number 6280780 |
Statements
Minimizing the variance of a mathematical expectation estimate for a diffusion process functional based on a parametric transformation of a parabolic boundary value problem (English)
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7 April 2014
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diffusion process
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stochastic differential equation
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absorbing boundary
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variance of an estimate of the functional
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Euler method
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numerical results
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