Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/23884
Authors: 
Prigarin, Sergej M.
Winkler, Gerhard
Year of Publication: 
2003
Series/Report no.: 
Discussion papers / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München 328
Abstract: 
To solve boundary value problems for linear systems of stochastic differential equations we propose and justify a numerical method based on the Gibbs sampler. In contrast to the technique which yields for linear systems an "exact" numerical solution, the proposed method is simpler to generalize for stochastic partial differential equations and nonlinear systems. Such generalizations are discussed as well.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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