Sibirskii Zhurnal Vychislitel'noi Matematiki
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Sib. Zh. Vychisl. Mat.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

Sibirskii Zhurnal Vychislitel'noi Matematiki, 2016, Volume 19, Number 1, Pages 33–45
DOI: https://doi.org/10.15372/SJNM20160103 (Mi sjvm600) 		 
This article is cited in 1 scientific paper (total in 1 paper)

Analysis of the accuracy of estimates of the first moments of solving SDE with Wiener and Poisson components by Monte Carlo method

S. S. Artemiev, M. A. Yakunin

Institute of Computational Mathematics and Mathematical Geophysics SB RAS, 6 Lavrentiev pr., Novosibirsk, 630090, Russia
Full-text PDF (474 kB) Citations (1) English version article
References:
PDF
HTML
DOI: https://doi.org/10.15372/SJNM20160103
Abstract: In this paper, we investigate the accuracy of estimates of the first moments of a numerical solution to SDE with the Wiener and the Poisson components by the generalized Euler explicit method. The exact expressions for the mathematical expectation and variance of the test SDE solution are obtained. These expressions allow us to investigate the dependence of the accuracy of estimates obtained by Monte Carlo method on the values of SDE parameters, the size of an integration step, and the size of an ensemble of simulated trajectories of the solution. The results of the numerical experiments are presented.
Key words: stochastic differential equations, Wiener and Poisson components, Monte Carlo method, generalized Euler method, ensemble of trajectories, integration step, estimates of moments.
Funding agency Grant number
Russian Foundation for Basic Research 14-01-00340
Ministry of Education and Science of the Russian Federation НШ-5111.2014.1
Received: 29.05.2014
Revised: 11.11.2014
English version:
Numerical Analysis and Applications, 2016, Volume 9, Issue 1, Pages 24–33
DOI: https://doi.org/10.1134/S1995423916010031
Bibliographic databases:
Document Type: Article
UDC: 519.676
Language: Russian
Citation: S. S. Artemiev, M. A. Yakunin, “Analysis of the accuracy of estimates of the first moments of solving SDE with Wiener and Poisson components by Monte Carlo method”, Sib. Zh. Vychisl. Mat., 19:1 (2016), 33–45; Num. Anal. Appl., 9:1 (2016), 24–33
Citation in format AMSBIB
\Bibitem{ArtYak16}
\by S.~S.~Artemiev, M.~A.~Yakunin
\paper Analysis of the accuracy of estimates of the first moments of solving SDE with Wiener and Poisson components by Monte Carlo method
\jour Sib. Zh. Vychisl. Mat.
\yr 2016
\vol 19
\issue 1
\pages 33--45
\mathnet{http://mi.mathnet.ru/sjvm600}
\crossref{https://doi.org/10.15372/SJNM20160103}
\mathscinet{https://mathscinet.ams.org/mathscinet-getitem?mr=3508733}
\elib{https://elibrary.ru/item.asp?id=25464501}
\transl
\jour Num. Anal. Appl.
\yr 2016
\vol 9
\issue 1
\pages 24--33
\crossref{https://doi.org/10.1134/S1995423916010031}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000374677500003}
\elib{https://elibrary.ru/item.asp?id=27145759}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-84962183206}
Linking options:
  • https://www.mathnet.ru/eng/sjvm600
  • https://www.mathnet.ru/eng/sjvm/v19/i1/p33
    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Sibirskii Zhurnal Vychislitel'noi Matematiki
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2025