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Licensed Unlicensed Requires Authentication Published by De Gruyter May 9, 2008

Two variants of a stochastic Euler method for homogeneous balance differential equations*

  • V. Nekrutkin and P. Potapov

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.

Published Online: 2008-05-09
Published in Print: 2004-12

© de Gruyter 2004

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