Numerical Integration of Multiplicative-Noise Stochastic Differential Equations

DOI10.1137/0722069zbMath0583.65098OpenAlexW1970994680MaRDI QIDQ3706475

John R. Klauder, Wesley P. Petersen

Publication date: 1985

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0722069

zbMATH Keywords

numerical examplesWiener processesRunge-Kutta methodIto stochastic differential equationError estimates

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) Probabilistic methods, stochastic differential equations (65C99)

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