Numerical methods for strong solutions of stochastic differential equations: an overview (Q3043439): Difference between revisions
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Latest revision as of 23:42, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical methods for strong solutions of stochastic differential equations: an overview |
scientific article |
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Numerical methods for strong solutions of stochastic differential equations: an overview (English)
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6 August 2004
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stochastic differential equations
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strong solutions
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numerical methods
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survey paper
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trajectories
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sample paths
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stochastic Taylor series expansion
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convergence
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Magnus expansion
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explicit and implicit methods
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Brownian path
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stochastic integrals
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variable-step-size implementations
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