A method for the calculation of characteristics for the solution to stochastic differential equations

Egorov Alexander () and Malyutin Victor ()
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Egorov Alexander: National Academy of Sciences of Belarus, Institute of Mathematics, Minsk, Belarus
Malyutin Victor: National Academy of Sciences of Belarus, Institute of Mathematics, Minsk, Belarus

Monte Carlo Methods and Applications, 2017, vol. 23, issue 3, 149-157

Abstract: In this work, a new numerical method to calculate the characteristics of the solution to stochastic differential equations is presented. This method is based on the Fokker–Planck equation for the transition probability function and the representation of the transition probability function by means of eigenfunctions of the Fokker–Planck operator. The results of the numerical experiments are presented.

Keywords: Stochastic differential equation; transition probability function; Fokker–Planck equation; Fokker–Planck operator; eigenfunctions expansion (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1515/mcma-2017-0110

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