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Constructing approximate diffusion processes with uncertain data

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  • Cortés, J.C.
  • Sevilla-Peris, P.
  • Jódar, L.

Abstract

In this paper discrete approximate processes of mixed diffusion problems under spatial uncertainty are constructed using random difference schemes. Conditions for the existence of a series stochastic solution process are given using a stochastic separation of variable method. Expectation and standard deviation of the approximate stochastic processes are computed for an illustrative example.

Suggested Citation

  • Cortés, J.C. & Sevilla-Peris, P. & Jódar, L., 2006. "Constructing approximate diffusion processes with uncertain data," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 73(1), pages 125-132.
    • Handle: RePEc:eee:matcom:v:73:y:2006:i:1:p:125-132
    DOI: 10.1016/j.matcom.2006.06.009
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    1. ,, 2001. "Problems And Solutions," Econometric Theory, Cambridge University Press, vol. 17(6), pages 1157-1160, December.
    2. ,, 2001. "Problems And Solutions," Econometric Theory, Cambridge University Press, vol. 17(5), pages 1025-1031, October.
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