Numerical methods for strong solutions of stochastic differential equations: an overview
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Publication:3043439
DOI10.1098/rspa.2003.1247zbMath1048.65004OpenAlexW2116228907MaRDI QIDQ3043439
Tianhai Tian, Kevin Burrage, Pamela M. Burrage
Publication date: 6 August 2004
Published in: Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1098/rspa.2003.1247
trajectoriesconvergencesample pathsnumerical methodsstochastic differential equationsstrong solutionssurvey paperstochastic integralsMagnus expansionexplicit and implicit methodsBrownian pathstochastic Taylor series expansionvariable-step-size implementations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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