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Simulation studies on time discrete diffusion approximations

✍ Scribed by Horst Liske; Eckhard Platen

Book ID
103895958
Publisher
Elsevier Science
Year
1987
Tongue
English
Weight
507 KB
Volume
29
Category
Article
ISSN
0378-4754

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✦ Synopsis

The paper presents results of simulation studies carried out with several time discrete simulation algorithms for diffusion processes with regard to the mean square and the mean convergence criterion.

This type of convergence is studied in [3-51.

We abbreviate Y= Y, and h;=h(Y,), for all iE {O,..., n } and functions h I R -+ R. The following two normal distributed random variables will be used in the (i + l)th time step of the algorithms:

πŸ“œ SIMILAR VOLUMES

Monte carlo simulation in diffusion stud
Monte carlo simulation in diffusion studies: Time scale problems
✍ Y. Limoge; J.L. Bocquet πŸ“‚ Article πŸ“… 1988 πŸ› Elsevier Science βš– 736 KB

In its original form the Manta Carlo technique was devised in order to handle with stationary states. The proper introduction of the time variable in the Monte Carlo scheme in order to use it in the framework of diffusion studies, is the purpose of this article. With reference to the jump theory we