A Numerical Analysis of Some First Order Stochastic Initial Value Problems

DOI10.1137/0127014MaRDI QIDQ4061876zbMATH OpenOpenAlexFDO

Authors Werner E. Kohler, William E. Boyce

Publication date 1974

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0127014

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)

Cited in

(5)

• A second-order Monte Carlo method for the solution of the Ito stochastic differential equation
• Numerical solution of a class of random boundary value problems
• Random evolution equations in hydrology
• Random evolution equations in hydrology
• Analytical study of a class of non-linear, stochastic, autonomous oscillators with one degree of freedom

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