| Autor: |
Artemiev, S., Yakunin, M. |
| Zdroj: |
Numerical Analysis & Applications; Jan2016, Vol. 9 Issue 1, p24-33, 10p |
| Abstrakt: |
In this paper, the estimation accuracy of the first moments of a numerical solution to an SDE with Wiener and Poisson components is investigated by a generalized explicit Euler method. Exact expressions for the mathematical expectation and variance of a test SDE solution are obtained. These expressions allow us to investigate the estimation accuracy obtained by a Monte Carlo method versus the SDE parameters, the integration step, and the size of the ensemble of simulated trajectories of the solution. The results of test numerical experiments are presented. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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