Author： Gusev S.
Publisher： MAIK Nauka/Interperiodica
ISSN： 1995-4239
Source： Numerical Analysis and Applications, Vol.4, Iss.2, 2011-04, pp. : 114-124
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Abstract
This paper deals with finding ways of reducing the variance of a mathematical expectation estimate for the functional of a diffusion process moving in a domain with an absorbing boundary. The estimate of mathematical expectation of the functional is obtained based on a numerical solution of stochastic differential equations (SDEs) by using the Euler method. A formula of the limiting variance is derived with decreasing integration step in the Euler method. A method of reducing the variance value of the estimate based on transformation of the parabolic boundary value problem corresponding to the diffusion process is proposed. Some numerical results are presented.
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