This article is cited in 1 paper

Monte Carlo estimates of derivatives with respect to parameters of the solution of the parabolic equation based on numerical SDE solution

S. A. Gusev

Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences

Abstract: In this paper, a statistical method of estimation of the solution of the parabolic equation and its derivatives with respect to parameters is proposed. This method is based on the numerical solution of stochastic differential equations (SDE's) by the Euler method. The order of convergence of using functionals of the SDE's is determined. Some numerical results are given.

Key words: parabolic equation, derivatives with respect to parameters, stochastic differential equations, Euler method.

UDC: 519.676

Received: 20.04.2005
Revised: 19.05.2005

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