Homogeneous Balance Equation for Measures: Errors of the Stochastic Solution

نویسندگان

  • Nina Golyandina
  • V. Nekrutkin
چکیده

| Stochastic (Monte Carlo) solutions of the general balance ordinary diierential equations for measures are considered. For this purpose a wide class of n-particle processes is studied from the viewpoint of the main terms of asymptotical (n ! 1) bias and variance for the corresponding estimates. Boltzmann-like and linear equations are considered as the particular cases of balance equations, several new and well-known algorithms are theoretically compared from the statistical and complexity points of view.

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عنوان ژورنال:
  • Monte Carlo Meth. and Appl.

دوره 5  شماره 

صفحات  -

تاریخ انتشار 1999