A variance reduction technique for use with the extrapolated Euler method for numerical solution of stochastic differential equations |
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| Authors: | S.T. Goodlett E.J. Allen |
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| Affiliation: | Department of Mathematics , Texas Tech University , Lubbock, Texas, 79409-1042 |
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| Abstract: | A simple, effective technique is described and tested for reducing the variation in estimated expectations of functions of functions of solutions of stochastic differential equations. The technique is implemented with extrapolated Euler method for numerical solution of stochastic differential equations |
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| Keywords: | Stochastic Differential Equations Numerical Methods Variance Reduction |
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