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A variance reduction technique for use with the extrapolated Euler method for numerical solution of stochastic differential equations

 

作者: S.T. Goodlett,   E.J. Allen,  

 

期刊: Stochastic Analysis and Applications  （Taylor Available online 1994）
卷期: Volume 12, issue 1  

页码: 131-140

 

ISSN:0736-2994

 

年代: 1994

 

DOI:10.1080/07362999408809341

 

出版商: Marcel Dekker, Inc.

 

关键词: Stochastic Differential Equations;Numerical Methods;Variance Reduction

 

数据来源: Taylor

 

摘要:

A simple, effective technique is described and tested for reducing the variation in estimated expectations of functions of functions of solutions of stochastic differential equations. The technique is implemented with extrapolated Euler method for numerical solution of stochastic differential equations

 

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