A second-order Monte Carlo method for the solution of the Ito stochastic differential equation

DOI10.1080/07362998608809086zbMath0602.65054OpenAlexW2020641707WikidataQ115297078 ScholiaQ115297078MaRDI QIDQ3738494

Daniel C. Haworth, Stephen B. Pope

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1080/07362998608809086

zbMATH Keywords

convergencenumerical resultsMonte Carlo simulationdifference equationTaylor series expansionhomogeneous Langevin equationvector Ito stochastic differential equation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical methods for initial value problems involving ordinary differential equations (65L05) Linear first-order PDEs (35F05) Probabilistic methods, stochastic differential equations (65C99)

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