Un schéma multipas d'approximation de l'équation de Langevin. (A multistep approximation method for the Langevin equation)

DOI10.1016/0304-4149(91)90060-PzbMath0731.60051MaRDI QIDQ808100

Bernard Ribémont, Dominique Lépingle

Publication date: 1991

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

simulationstochastic differential equationsLangevin equationnumerical scheme

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (8)

A CLASS OF TWO-PARAMETER BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A BROWNIAN SHEET ⋮ Reflected Backward Stochastic Differential Equation with Locally Monotone Coefficient ⋮ Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications ⋮ Nonparametric Estimation for FBSDEs Models with Applications in Finance ⋮ On Monotonicity and Order-Preservation for MultidimensionalG-Diffusion Processes ⋮ Infinite Horizon Reflected Backward SDEs with Jumps and RCLL Obstacle ⋮ Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition ⋮ A stochastic approach to a new type of parabolic variational inequalities

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Discretization and simulation of stochastic differential equations
• Continuous Markov processes and stochastic equations
• Resolution trajectorielle et analyse numerique des equations differentielles stochastiques
• Numerical Treatment of Stochastic Differential Equations
• Approximate Integration of Stochastic Differential Equations

This page was built for publication: Un schéma multipas d'approximation de l'équation de Langevin. (A multistep approximation method for the Langevin equation)