A splitting method for stochastic programs
β Scribed by Teemu Pennanen; Markku Kallio
- Publisher
- Springer US
- Year
- 2006
- Tongue
- English
- Weight
- 258 KB
- Volume
- 142
- Category
- Article
- ISSN
- 0254-5330
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π SIMILAR VOLUMES
stochastic programming is concerned with practical procedures for decision making under uncertainty, by modelling uncertainties and risks associated with decision in a form suitable for optimization. The field is developing rapidly with contributions from many disciplines such as operations research
In this paper we discuss split-step forward methods for solving ItΓ΄ stochastic differential equations (SDEs). Eight fully explicit methods, the drifting split-step Euler (DRSSE) method, the diffused split-step Euler (DISSE) method and the three-stage Milstein (TSM 1a -TSM 1f) methods, are constructe