An efficient spectral method for the numerical solution to some classes of stochastic differential equations

DOI10.1002/MMA.7157OpenAlexW3118627356MaRDI QIDQ5011137

Hacène Djellout, Cédric Chauvière

Publication date: 27 August 2021

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.7157

zbMATH Keywords

stochastic differential equationsspectral expansionnumerical approximationstochastic collocation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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