Institute of Computational Mathematics and Mathematical Geophysics SB RAS

International Conference on Mathematical Methods in Geophysics «MMG-2008»

Akademgorodok, Novosibirsk, Russia, October 13-15, 2008

Abstracts

Mathematical and Statistical Simulation in Problems of the Physics of Atmosphere, Ocean, and Environmental Protection

Variances of estimates of functionals of a diffusion process

Gusev S.A.

ICMMG SD RAS (Novosibirsk)

Functionals of a diffusion process moving in the domain with smooth boundary are considered in the paper. Absorbing or reflecting conditions can be set on the boundary in this case. The value of the considered functional coincides with the value of corresponding parabolic boundary value problem at the point from which the diffusion initiates its moving. The estimates of the functionals are obtained by the Monte Carlo method as result of modelling of trajectories of the diffusion process by the Euler method. Formulas stating the values of the variances of obtained estimates of functionals are given.

Note. Abstracts are published in author's edition

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