Moate Simulation of Stochastic Processes
随机过程的 Moate 模拟方法
A novel approach called Moate Simulation is presented to provide an accurate numerical evolution of probability distribution functions represented on grids arising from stochastic differential processes where initial conditions are specified. Where the variables of stochastic differential equations may be transformed via Itô-Doeblin calculus into stochastic differentials with a constant diffusion term, the probability distribution function for these variables can be…