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Unbiased Estimation with Square Root Convergence for SDE Models
Unbiased Estimation Square Root Convergence SDE Models
2015/7/6
In many settings in which Monte Carlo methods are applied, there may be no known algorithm for exactly generating the random object for which an expectation is to be computed. Frequently, however, one...
Approximation of solutions of SDE's with oblique reflection on an orthant
Approximation of solutions SDE oblique reflection an orthant
2009/9/21
We'consider the discrete penalization scheme, the projection
and the Euler-Peano scheme for SDE's driven by general semimartingale
on an orthant with oblique reflection. We prove that these
schemes...
Flows associated to Tanaka's SDE.
A 2-Dimensional SDE Whose Solutions are Not Unique
Stochastic differential equation pathwise uniqueness diffusion process
2009/5/4
In 1971, Yamada and Watanabe showed that pathwise uniqueness holds for the SDE dX= sigma (X)dB when sigma takes values in the n-by-m matrices and satisfies |sigma (x)- sigma (y)| < |x-y|log(1/|x-y|)1/...