Numerical solutions of linear stochastic differential equations

DOI10.1016/0898-1221(94)90050-7zbMath0792.65111OpenAlexW2014987629MaRDI QIDQ1324320

Cs. Török

Publication date: 24 May 1994

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(94)90050-7

zbMATH Keywords

algorithmMonte Carlo methodRunge-Kutta methodlinear Ito stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

Preservation of probabilistic laws through Euler methods for ornstein-uhlenbeck process ⋮ Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise

Cites Work

• Linear stochastic systems with constant coefficients. A statistical approach
• A survey of numerical methods for stochastic differential equations
• Numerical Treatment of Stochastic Differential Equations
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