High-order spectral method of density estimation for stochastic differential equation driven by multivariate Gaussian random variables

DOI10.1155/2023/9974539OpenAlexW4385858357MaRDI QIDQ6048403

Hongling Xie

Publication date: 10 October 2023

Published in: Advances in Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2023/9974539

zbMATH Keywords

spectral methoddensity estimationMonte-Carlo method

Mathematics Subject Classification ID

Density estimation (62G07) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) PDEs with randomness, stochastic partial differential equations (35R60)

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