On solving stochastic differential equations

Ermakov Sergej M. () and Pogosian Anna A. ()
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Ermakov Sergej M.: Saint-Petersburg University, Universitetskiy pr. 13, 198504Saint Petersburg, Russia
Pogosian Anna A.: Saint-Petersburg University, Universitetskiy pr. 13, 198504Saint Petersburg, Russia

Monte Carlo Methods and Applications, 2019, vol. 25, issue 2, 155-161

Abstract: This paper proposes a new approach to solving Ito stochastic differential equations. It is based on the well-known Monte Carlo methods for solving integral equations (Neumann–Ulam scheme, Markov chain Monte Carlo). The estimates of the solution for a wide class of equations do not have a bias, which distinguishes them from estimates based on difference approximations (Euler, Milstein methods, etc.).

Keywords: Monte Carlo methods; Markov chain Monte Carlo; stochastic differential equations (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1515/mcma-2019-2038

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