# Density Tracking by Quadrature for Stochastic Differential Equations

@article{Bhat2016DensityTB, title={Density Tracking by Quadrature for Stochastic Differential Equations}, author={H. Bhat and R. Madushani}, journal={arXiv: Computation}, year={2016} }

We develop and analyze a method, density tracking by quadrature (DTQ), to compute the probability density function of the solution of a stochastic differential equation. The derivation of the method begins with the discretization in time of the stochastic differential equation, resulting in a discrete-time Markov chain with continuous state space. At each time step, the DTQ method applies quadrature to solve the Chapman-Kolmogorov equation for this Markov chain. In this paper, we focus on a… Expand

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