The paper is devoted to a stochastic solution of balance differential equations for measures. Using the technique developed in N. Golyandina and V. Nekrutkin, MC Methods & Appl., V.5, N° 3, 1999, we show that a regular-grid version of a stochastic Euler method has asymptotically smaller variance than the corresponding Poisson-grid version.
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Two variants of a stochastic Euler method for homogeneous balance differential equations
The work is supported by the RFFI grant N° 01-01-00315
V. Nekrutkin / P. Potapov
1Math. Department, St. Petersburg University, Universitetsky av. 28, 198504, St. Petersburg, Petrodvorets, Russia
Citation Information: Monte Carlo Methods and Applications mcma. Volume 10, Issue 3-4, Pages 469–479, ISSN (Online) 1569-3961, ISSN (Print) 0929-9629, DOI: 10.1515/mcma.2004.10.3-4.469, May 2008
Publication History:
- Published Online:
- 2008-05-09
Keywords: balance equations for measures; Monte Carlo methods; particle processes
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