Two variants of a stochastic Euler method for homogeneous balance differential equations*

Nekrutkin V. and Potapov P.

Monte Carlo Methods and Applications, 2004, vol. 10, issue 3-4, 469-479

Abstract: The paper is devoted to a stochastic solution of balance differential equations for measures. Using the technique developed in N. Golyandina and V. Nekrutkin, MC Methods & Appl., V.5, N° 3, 1999, we show that a regular-grid version of a stochastic Euler method has asymptotically smaller variance than the corresponding Poisson-grid version.

Keywords: balance equations for measures; Monte Carlo methods; particle processes (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1515/mcma.2004.10.3-4.469

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