Pages that link to "Item:Q598147"

The following pages link to Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations (Q598147):

Displaying 39 items.

• Order-preserving strong schemes for SDEs with locally Lipschitz coefficients (Q343658) (← links)
• A weak local linearization scheme for stochastic differential equations with multiplicative noise (Q344263) (← links)
• The truncated Euler-Maruyama method for stochastic differential equations (Q492112) (← links)
• A multigrid-like algorithm for probabilistic domain decomposition (Q521522) (← links)
• Numerical study of interacting particles approximation for integro-differential equations (Q556315) (← links)
• A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods (Q632730) (← links)
• A new parallel solver suited for arbitrary semilinear parabolic partial differential equations based on generalized random trees (Q648054) (← links)
• Runge-Kutta methods for jump-diffusion differential equations (Q654140) (← links)
• Adaptive Itô-Taylor algorithm can optimally approximate the Itô integrals of singular functions (Q711243) (← links)
• A high-order discontinuous Galerkin method for Itô stochastic ordinary differential equations (Q738961) (← links)
• Simulation of forward-reverse stochastic representations for conditional diffusions (Q744383) (← links)
• Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems (Q747917) (← links)
• On weak approximations of \((a, b)\)-invariant diffusions (Q870432) (← links)
• Computing ergodic limits for Langevin equations (Q885910) (← links)
• SDELab: A package for solving stochastic differential equations in MATLAB (Q885951) (← links)
• Weak forms of the locally transversal linearization (LTL) technique for stochastically driven nonlinear oscillators (Q949934) (← links)
• Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis (Q1007381) (← links)
• The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations (Q1038059) (← links)
• Variance reduction for discretised diffusions via regression (Q1674395) (← links)
• Computational singular perturbation analysis of stochastic chemical systems with stiffness (Q1685440) (← links)
• Stable schemes for dissipative particle dynamics with conserved energy (Q1686459) (← links)
• Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations (Q1747313) (← links)
• Strong convergence of the split-step theta method for neutral stochastic delay differential equations (Q2012631) (← links)
• A mathematical framework for critical transitions: bifurcations, fast-slow systems and stochastic dynamics (Q2276145) (← links)
• An efficient computational method for statistical moments of Burger's equation with random initial conditions (Q2314689) (← links)
• Numerical solution of stochastic differential equations in the sense of Stratonovich in an amorphization crystal lattice model (Q2343590) (← links)
• Convergence and convergence rates for approximating ergodic means of functions of solutions to stochastic differential equations with Markov switching (Q2347459) (← links)
• Weak stochastic Runge-Kutta Munthe-Kaas methods for finite spin ensembles (Q2359649) (← links)
• Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise (Q2359994) (← links)
• A probabilistic method for numerical solution of quasi-linear parabolic equations (Q2383720) (← links)
• An importance sampling technique in Monte Carlo methods for SDEs with a.s. stable and mean-square unstable equilibrium (Q2406621) (← links)
• Mean-square convergence of stochastic multi-step methods with variable step-size (Q2468135) (← links)
• Continuous weak approximation for stochastic differential equations (Q2479386) (← links)
• A hardware generator of multi-point distributed random numbers for Monte Carlo simulation (Q2479439) (← links)
• Classification of stochastic Runge-Kutta methods for the weak approximation of stochastic differential equations (Q2483553) (← links)
• One-step approximations for stochastic functional differential equations (Q2490728) (← links)
• Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations (Q2566265) (← links)
• Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation (Q3094686) (← links)
• Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis (Q5215017) (← links)