On a deterministic approach to the numerical solution of the SDE (Q5938379): Difference between revisions
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scientific article; zbMATH DE number 1621885
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On a deterministic approach to the numerical solution of the SDE |
scientific article; zbMATH DE number 1621885 |
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On a deterministic approach to the numerical solution of the SDE (English)
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3 April 2002
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The solution of a Stratonovich stochastic differential equation (SDE) is approximated by processes which are solutions of ordinary differential equations where the Wiener process is approximated by Cauchy polygonal method. The Cauchy polygonal processes are approximated by smooth pseudorandom functions. A Runge Kutta scheme is applied.
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Stratonovich stochastic differential equation
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stochastic Runge Kutta scheme
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Wiener process
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Cauchy polygonal method
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pseudorandom functions
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