Questions tagged [stochastic-ode]

The tag has no usage guidance.

4 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
4
votes
0answers
66 views

Probability approximation: monte carlo VS sde

I have a probability measure $\mu$ (say, in $\mathbb{R}^{d}$, with density) and I want to approximate it numerically. Today I noticed that my measure is ergotic for a certain Stochastic Differential ...
2
votes
0answers
42 views

How to determine the order of convergence of the Euler-Maruyama method?

This question is originally posted in Quant.StackExchange but has been unanswered for some time so I ask in here. To make this simple let us consider the Geometric Brownian Motions (GBM). My ...
1
vote
0answers
139 views

SDE solver in python: manual determination of integrator step size (dt)

Aim: I am trying to solve a system of SDEs, while using the SDEint package in python 3.x. It is a system of SDEs adapted from and inspired by the Zombie Apocalypse ...
0
votes
0answers
13 views

Solving SDEs in R until a prespecified value is reached

I am trying to solve a system of SDEs in R using the Diffeqr package. A simplified version of the system: ...