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Continuous-Time Random Walks for the Numerical Solution of Stochastic Differential Equations.

9781470431815

Continuous-Time Random Walks for the Numerical Solution of Stochastic Differential Equations

Nawaf Bou-Rabee and Eric Vanden-Eijnden

American Mathematical Society

2018

124 pages

$78.00

Memoirs of the American Mathematical Society; Volume 256, Number 1228

QA274

Bou-Rabee and Vanden-Eijnden propose a strategy for simulating stochastic differential equations, adopting an approach that is more tailored to the probabilistic structure of the solution in order to design stable and (weakly) accurate schemes for their simulation that are both provably ergodic when the underlying stochastic differential equation is, and faithful to the geometry of their domain of integration. The basic idea is to discretize their solution in space rather than in time, through the discretization of their infinitesimal generator. (Ringgold, Inc., Portland, OR)

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Date:Feb 1, 2019
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