A numerical approach to Kolmogorov equation in high dimension based on Gaussian analysis
نویسندگان
چکیده
For Kolmogorov equations associated to finite dimensional stochastic differential (SDEs) in high dimension, a numerical method alternative Monte Carlo simulations is proposed. The structure of the SDE inspired by Partial Differential Equations (SPDE) and thus contains an underlying Gaussian process which key algorithm. A series development solution terms iterated integrals given, it proved converge - also infinite limit numerically tested number examples.
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ژورنال
عنوان ژورنال: Journal of Mathematical Analysis and Applications
سال: 2021
ISSN: ['0022-247X', '1096-0813']
DOI: https://doi.org/10.1016/j.jmaa.2020.124505