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The Discrete Approach and Boundary Behavior

  • Zeev Schuss
Chapter
Part of the Applied Mathematical Sciences book series (AMS, volume 170)

Abstract

The path integral or the Wiener measure interpretation of stochastic differential equations is useful for both the conceptual understanding of stochastic differential equations and for deriving differential equations that govern the evolution of the pdfs of their solutions. A simple illustration of the computational usefulness of the Wiener measure is the easy derivation of the explicit expression (2.25) for the pdf of the MBM. Unfortunately, no explicit expressions exist in general for the pdf of the solution to (5.1). The second best to such an explicit expression is a (deterministic) differential equation for the pdf, whose solution can be studied both analytically and numerically directly from the differential equation. A case in point is the diffusion equation and the initial condition (2.26) that the pdf of the MBM satisfies.

Keywords

Stochastic Differential Equation Planck Equation Boundary Behavior Euler Scheme Absorb Boundary Condition 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  • Zeev Schuss
    • 1
  1. 1.Department of Applied MathematicsSchool of Mathematical Science Tel Aviv UniversityTel AvivIsrael

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