Monte Carlo estimates of the solution of a parabolic equation and its derivatives made by solving stochastic differential equations

DOI10.1016/S1007-5704(03)00108-4zbMath1037.35110WikidataQ115337353 ScholiaQ115337353MaRDI QIDQ1421543

S. A. Gusev

Publication date: 26 January 2004

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationdiffusion processEuler methodparametric derivativesystem of stochastic differential equationsParabolic equation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Initial-boundary value problems for second-order parabolic equations (35K20) Dependence of solutions to PDEs on initial and/or boundary data and/or on parameters of PDEs (35B30) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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