Exact Finite-Difference Schemes for d-Dimensional Linear Stochastic Systems with Constant Coefficients.
Peng JiangXiaofeng JuDan LiuShaoqun FanPublished in: J. Appl. Math. (2013)
Keyphrases
- finite difference
- stochastic systems
- numerical scheme
- semi implicit
- finite element
- numerical solution
- numerical analysis
- partial differential equations
- stochastic models
- level set
- confidence intervals
- exact solution
- linear combination
- sample path
- probabilistic model
- linear systems
- objective function
- diffusion equation