A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation.
Toshihiro YamadaKenta YamamotoPublished in: Monte Carlo Methods Appl. (2018)
Keyphrases
- markov chain
- monte carlo method
- monte carlo simulation
- steady state
- finite state
- monte carlo
- markov process
- stationary distribution
- transition probabilities
- state space
- random walk
- markov model
- stochastic process
- transition matrix
- neural network
- higher order
- mathematical models
- queueing networks
- closed form
- mathematical model
- search algorithm
- optimal solution