Publicação
Method for simulating non-linear stochastic differential equations in R¹
| dc.contributor.author | Nicolau, João | |
| dc.date.accessioned | 2023-04-05T14:33:05Z | |
| dc.date.available | 2023-04-05T14:33:05Z | |
| dc.date.issued | 2005 | |
| dc.description.abstract | Very few specific stochastic differential equations have explicitly known solutions. The most common procedure to obtain a simulated path of a solution is based on a discretization of the stochastic differential equations. However, there are some cases where the discrete-time discretization cannot be used. In this article, we propose a new method to simulate the solution of a non-linear stochastic differential equation, which, in principle, is exempt from error of simulation and can be widely applied including in cases where the discrete-time discretization cannot be used. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | Nicolau, João .(2005). “Method for simulating non-linear stochastic differential equations in R¹”. Journal of Statistical Computation and Simulation, Vol. 75, No. 8: pp. 595–609 .(Search PDF in 2023). | pt_PT |
| dc.identifier.doi | 10.1080/00949650410001687235 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10400.5/27590 | |
| dc.language.iso | eng | pt_PT |
| dc.publisher | Taylor & Francis Group Ltd. | pt_PT |
| dc.subject | Diffusion Processes | pt_PT |
| dc.subject | Statistical Simulation Methods | pt_PT |
| dc.subject | Simulation-based Methods | pt_PT |
| dc.subject | Estimation | pt_PT |
| dc.subject | Transition Density Estimation | pt_PT |
| dc.title | Method for simulating non-linear stochastic differential equations in R¹ | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | article | pt_PT |