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Monte Carlo simulation for functiona...
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Pangeni, Basant.
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Monte Carlo simulation for functionals of diffusion processes.
紀錄類型:
書目-電子資源 : Monograph/item
正題名/作者:
Monte Carlo simulation for functionals of diffusion processes./
作者:
Pangeni, Basant.
面頁冊數:
65 p.
附註:
Source: Masters Abstracts International, Volume: 42-04, page: 1269.
Contained By:
Masters Abstracts International42-04.
標題:
Mathematics. -
電子資源:
http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1417935
ISBN:
0496227165
Monte Carlo simulation for functionals of diffusion processes.
Pangeni, Basant.
Monte Carlo simulation for functionals of diffusion processes.
- 65 p.
Source: Masters Abstracts International, Volume: 42-04, page: 1269.
Thesis (M.S.)--University of Southern California, 2003.
The focus of this thesis is to study the rate of convergence of the Euler scheme for the solution of Stochastic Differential Equations (SDE) under the assumption of Holder continuity in x. Some examples are considered and Monte Carlo simulation using MATLAB applied to investigate the convergence of Euler approximations of the SDE when the drift and diffusion coefficients are not smooth.
ISBN: 0496227165Subjects--Topical Terms:
515831
Mathematics.
Monte Carlo simulation for functionals of diffusion processes.
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http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1417935
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