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Computing hitting times via fluid approximation: application to the coupon collector problem
Computing hitting times fluid approximation coupon collector problem Probability
2011/9/14
Abstract: In this paper, we show how to use stochastic approximation to compute hitting time of a stochastic process, based on the study of the time for a fluid approximation of this process to be at ...
A Distributed Procedure for Computing Stochastic Expansions with Mathematica
Rough paths；Iterated Integrals；Stochastic Expansions
2010/12/14
The solution of a (stochastic) di erential equation can be locally approxi-mated by a (stochastic) expansion. If the vector eld of the di erential equation is a polynomial, the corresponding expansio...
