The digital simulation of stochastic differential equations

DOI10.1109/TAC.1974.1100468zbMath0279.60049MaRDI QIDQ4765820

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Publication date: 1974

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Software, source code, etc. for problems pertaining to probability theory (60-04)

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Stochastic model of leukocyte chemosensory movement ⋮ Numerical procedures for sample structures on stochastic differential equations ⋮ A survey of numerical methods for stochastic differential equations ⋮ Simulation of multivariable non-linear stochastic systems ⋮ A numerical model for durotaxis ⋮ Digital simulation of Poisson stochastic differential equations ⋮ An adaptive algorithm for optimal non-linear estimation in stochastic systems ⋮ Discretization of the Wiener-process in difference-methods for stochastic differential equations

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