Proceedings of the IV International research conference "Information technologies in Science, Management, Social sphere and Medicine" (ITSMSSM 2017)

SDE Simulation in One Click: Fiction or Reality?

Authors
Alexandra Barysheva, Alexander Markov
Corresponding Author
Alexandra Barysheva
Available Online December 2017.
DOI
10.2991/itsmssm-17.2017.91How to use a DOI?
Keywords
stochastic differential equations, discretization scheme, Monte-Carlo simulation
Abstract

Stochastic differential equations (further referred to as SDEs) and the models based on SDE are widely used to describe stochastic processes in virtually any area of human activity, such as biology or finance. Unlike an analytical approach to solving SDE, the simulation methods allow to significantly increase the range of practical problems, which examples are given in the paper. Capture III describes the result of the comparative analysis of existing programming tools for SDE simulation, their advantages and shortcomings. It was shown that none of the existing tools completely meet the requirements formulated in Chapter III for the tool's functionality used for building a simulation model.

Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the IV International research conference "Information technologies in Science, Management, Social sphere and Medicine" (ITSMSSM 2017)
Series
Advances in Computer Science Research
Publication Date
December 2017
ISBN
978-94-6252-432-3
ISSN
2352-538X
DOI
10.2991/itsmssm-17.2017.91How to use a DOI?
Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Alexandra Barysheva
AU  - Alexander Markov
PY  - 2017/12
DA  - 2017/12
TI  - SDE Simulation in One Click: Fiction or Reality?
BT  - Proceedings of the IV International research conference "Information technologies in Science, Management, Social sphere and Medicine" (ITSMSSM 2017)
PB  - Atlantis Press
SP  - 434
EP  - 437
SN  - 2352-538X
UR  - https://doi.org/10.2991/itsmssm-17.2017.91
DO  - 10.2991/itsmssm-17.2017.91
ID  - Barysheva2017/12
ER  -