Corpus ID: 88515840

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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