Digital simulation of multi-variate stochastic processes

Stochastic Coalescence Multi-Fragmentation Processes

Stochastic Simulation of Coupled Reaction–Diffusion Processes

actants is used to compute the time evolution of reactant concentrations. The stochastic algorithm is rigorous in the The stochastic time evolution method has been used previously to study non-linear chemical reaction processes in well-stirred hosense that it provides an exact solution to the correspondmogeneous systems. We present the first treatment of diffusion, in ing master equation for ch...

Simulation of Stochastic Processes in Financial Modeling

This paper discusses theoretical properties, shows the performance and presents some extensions of techniques used for simulation of stochastic differential equation applied on the financial data modeling. There are realized comparisons of different approaches for discretization schemes and their performances from the simulation convergence point of view. This study shows that, depending on the...

Stochastic Simulation of Reaction-Diffusion Processes

Hellander, S. 2013. Stochastic Simulation of Reaction-Diffusion Processes. Acta Universitatis Upsaliensis. Digital Comprehensive Summaries of Uppsala Dissertations from the Faculty of Science and Technology 1042. 46 pp. Uppsala. ISBN 978-91-554-8667-9. Numerical simulation methods have become an important tool in the study of chemical reaction networks in living cells. Many systems can, with hi...

Monte Carlo Simulation of Stochastic Processes

For all cases I present both simulations the risk-neutral and the real one. Risk-neutral simulations are used for derivatives pricing, whereas real simulations are used in other applications like: (a) value at risk; (b) hedging; and, (c) in some real options applications, e.g., to find out the option exercise probability and the waiting expected time before the option exercise (see the Timing s...