Variances of estimates of a diffusion process functional and its derivatives with respect to parameters

DOI10.1515/RJNAMM.2009.028zbMath1185.65011MaRDI QIDQ3654455

S. A. Gusev

Publication date: 6 January 2010

Published in: Russian Journal of Numerical Analysis and Mathematical Modelling (Search for Journal in Brave)

zbMATH Keywords

numerical experimentsstochastic differential equationsdiffusion processEuler's methodparabolic boundary value problemvariances of estimates

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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