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A global Monte-Carlo method for fitting parameters of differential equation models
global Monte-Carlo method fitting parameters Quantitative Methods
2011/10/8
Abstract: Finding the parameter values of differential equation models from data is an important part of the modelling process. Large models and sparse data often make the parameters very difficult to...
A regression Monte-Carlo method for Backward Doubly Stochastic Differential Equations
regression Monte-Carlo method Stochastic Differential Equations Probability
2011/8/30
Abstract: This paper extends the idea of E.Gobet, J.P.Lemor and X.Warin from the setting of Backward Stochastic Differential Equations to that of Backward Doubly Stochastic Differential equations. We ...
Monte Carlo method for finding the solution of Dirichlet partial differential equations
Markov Chain Monte Carlo Dirichlet
2010/9/15
In this paper we present a new Monte Carlo algorithm for finding the solution of Dirichlet partial differential equations (DPDE). Here, we show the solution of a given DPDE, can be found by a new effi...