Analysis of the numerical stochastic approximation methods for nonstationary linear diffusion problem
Volume 7, Issue 2 (1996), pp. 155–166
Pub. online: 1 January 1996
Type: Research Article
Published
1 January 1996
1 January 1996
Abstract
Weak approximation methods for initial value problem for the parabolic equation are considered. We propose some simple tests to investigate the quality of RNG used in Monte-Carlo simulations. Numerical examples are given to illustrate the application of stochastic approximation methods.