A second-order Monte Carlo method for the solution of the Ito stochastic differential equation (Q3738494): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Created claim: Wikidata QID (P12): Q115297078, #quickstatements; #temporary_batch_1707252663060 |
||
| Property / Wikidata QID | |||
| Property / Wikidata QID: Q115297078 / rank | |||
Normal rank | |||
Revision as of 02:30, 7 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A second-order Monte Carlo method for the solution of the Ito stochastic differential equation |
scientific article |
Statements
A second-order Monte Carlo method for the solution of the Ito stochastic differential equation (English)
0 references
1986
0 references
vector Ito stochastic differential equation
0 references
Taylor series expansion
0 references
difference equation
0 references
Monte Carlo simulation
0 references
numerical results
0 references
convergence
0 references
homogeneous Langevin equation
0 references
