Stochastic Approximation Finite Element Method: Analytical Formulas for Multidimensional Diffusion Process
نویسندگان
چکیده
منابع مشابه
Stochastic Approximation Finite Element Method: Analytical Formulas for Multidimensional Diffusion Process
We derive an analytical weak approximation of a multidimensional diffusion process as coefficients or time are small. Our methodology combines the use of Gaussian proxys to approximate the law of the diffusion and a Finite Element interpolation of the terminal function applied to the diffusion. We call this method Stochastic Approximation Finite Element (SAFE for short) method. We provide error...
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ژورنال
عنوان ژورنال: SIAM Journal on Numerical Analysis
سال: 2014
ISSN: 0036-1429,1095-7170
DOI: 10.1137/130928431