SDE Simulation in One Click: Fiction or Reality?

DOI

10.2991/itsmssm-17.2017.91How to use a DOI?

Keywords

stochastic differential equations, discretization scheme, Monte-Carlo simulation

Abstract

Stochastic differential equations (further referred to as SDEs) and the models based on SDE are widely used to describe stochastic processes in virtually any area of human activity, such as biology or finance. Unlike an analytical approach to solving SDE, the simulation methods allow to significantly increase the range of practical problems, which examples are given in the paper. Capture III describes the result of the comparative analysis of existing programming tools for SDE simulation, their advantages and shortcomings. It was shown that none of the existing tools completely meet the requirements formulated in Chapter III for the tool's functionality used for building a simulation model.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Alexandra Barysheva
AU  - Alexander Markov
PY  - 2017/12
DA  - 2017/12
TI  - SDE Simulation in One Click: Fiction or Reality?
BT  - Proceedings of the IV International research conference "Information technologies in Science, Management, Social sphere and Medicine" (ITSMSSM 2017)
PB  - Atlantis Press
SP  - 434
EP  - 437
SN  - 2352-538X
UR  - https://doi.org/10.2991/itsmssm-17.2017.91
DO  - 10.2991/itsmssm-17.2017.91
ID  - Barysheva2017/12
ER  -