کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
473293 | 698785 | 2011 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The estimation of probability distribution of SDE by only one sample trajectory
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
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چکیده انگلیسی
This paper focuses on the method of the simulation of a stochastic system and the main method of our paper is the Monte Carlo computation simulation method. Taking the stochastic Logistic equation as an example, we present the simulation of the sample trajectory by Euler scheme and the invariant probability distribution of stochastic differential equations with the Monte Carlo method. We also compare the simulation result with the analytical result for the autonomous stochastic Logistic model. Moreover, the stochastic Logistic equation with Markovian switching which is described by a Markov chain taking values in a finite state space is considered.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computers & Mathematics with Applications - Volume 62, Issue 4, August 2011, Pages 1798–1806
Journal: Computers & Mathematics with Applications - Volume 62, Issue 4, August 2011, Pages 1798–1806
نویسندگان
Guixin Hu, Ke Wang,