SDE Simulation in One Click: Fiction or Reality?
Alexandra Barysheva, Alexander Markov
Available Online December 2017.
- https://doi.org/10.2991/itsmssm-17.2017.91How to use a DOI?
- stochastic differential equations, discretization scheme, Monte-Carlo simulation
- 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.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Alexandra Barysheva AU - Alexander Markov PY - 2017/12 DA - 2017/12 TI - SDE Simulation in One Click: Fiction or Reality? BT - 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 - https://doi.org/10.2991/itsmssm-17.2017.91 ID - Barysheva2017/12 ER -