ON THE SIMULATION OF STOCHASTIC PROCESSES WITH CONTINUOUS STATE AND PARAMETER SPACE.

L. Fahrmeir

ON THE SIMULATION OF STOCHASTIC PROCESSES WITH CONTINUOUS STATE AND PARAMETER SPACE.

L. Fahrmeir

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Abstract

This paper deals with the hybrid and digital simulation of some important classes of stochastic processes: diffusion processes and differential equations with random parameters and/or random right hand side. Under certain assumptions these processes may be modeled by the solutions of stochastic differential equations of the Ito type. Various methods of how to simulate these solutions on hybrid and digital computers are discussed. It is shown that the stochastic versions of some well-known deterministic methods have to be modified in order to obtain a correct simulation. Numerical results are justified by convergence theorems.

Original language	English
Pages	67-71
Number of pages	5
State	Published - 1977
Event	Proc of the AICA (Assoc Int pour le Calc Analogique) Congr, 8th, Int Congr on Simul of Syst - Delft, Neth Duration: 23 Aug 1976 → 28 Aug 1976

Conference

Conference	Proc of the AICA (Assoc Int pour le Calc Analogique) Congr, 8th, Int Congr on Simul of Syst
City	Delft, Neth
Period	23/08/76 → 28/08/76

Cite this

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title = "ON THE SIMULATION OF STOCHASTIC PROCESSES WITH CONTINUOUS STATE AND PARAMETER SPACE.",

abstract = "This paper deals with the hybrid and digital simulation of some important classes of stochastic processes: diffusion processes and differential equations with random parameters and/or random right hand side. Under certain assumptions these processes may be modeled by the solutions of stochastic differential equations of the Ito type. Various methods of how to simulate these solutions on hybrid and digital computers are discussed. It is shown that the stochastic versions of some well-known deterministic methods have to be modified in order to obtain a correct simulation. Numerical results are justified by convergence theorems.",

author = "L. Fahrmeir",

year = "1977",

language = "English",

pages = "67--71",

note = "Proc of the AICA (Assoc Int pour le Calc Analogique) Congr, 8th, Int Congr on Simul of Syst ; Conference date: 23-08-1976 Through 28-08-1976",

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T1 - ON THE SIMULATION OF STOCHASTIC PROCESSES WITH CONTINUOUS STATE AND PARAMETER SPACE.

AU - Fahrmeir, L.

PY - 1977

Y1 - 1977

N2 - This paper deals with the hybrid and digital simulation of some important classes of stochastic processes: diffusion processes and differential equations with random parameters and/or random right hand side. Under certain assumptions these processes may be modeled by the solutions of stochastic differential equations of the Ito type. Various methods of how to simulate these solutions on hybrid and digital computers are discussed. It is shown that the stochastic versions of some well-known deterministic methods have to be modified in order to obtain a correct simulation. Numerical results are justified by convergence theorems.

AB - This paper deals with the hybrid and digital simulation of some important classes of stochastic processes: diffusion processes and differential equations with random parameters and/or random right hand side. Under certain assumptions these processes may be modeled by the solutions of stochastic differential equations of the Ito type. Various methods of how to simulate these solutions on hybrid and digital computers are discussed. It is shown that the stochastic versions of some well-known deterministic methods have to be modified in order to obtain a correct simulation. Numerical results are justified by convergence theorems.

UR - https://www.scopus.com/pages/publications/0017433020

M3 - Paper

AN - SCOPUS:0017433020

SP - 67

EP - 71

T2 - Proc of the AICA (Assoc Int pour le Calc Analogique) Congr, 8th, Int Congr on Simul of Syst

Y2 - 23 August 1976 through 28 August 1976

ER -

ON THE SIMULATION OF STOCHASTIC PROCESSES WITH CONTINUOUS STATE AND PARAMETER SPACE.

Abstract

Conference

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