A recursive integration method for approximate solution of stochastic differential equations

DOI10.1080/00207169808804624MaRDI QIDQ4375410zbMATH OpenOpenAlexFDO

Authors Marwan Abukhaled, Edward J. Allen

Publication date 11 November 2002

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207169808804624

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• A survey of numerical methods for stochastic differential equations
• Expansion of the global error for numerical schemes solving stochastic differential equations
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• Numerical Solution of First Passage Problems in Random Vibrations
• Petrov-Galerkin finite element solution for the first passage probability and moments of first passage time of the randomly accelerated free particle

Cited in

(7)

• Numerical solution of some partial differential equations by means of a deterministic method of approximate functional integration
• The approximate solutions of some stochastic differential equations using transformations
• scientific article; zbMATH DE number 4028544 (Why is no real title available?)
• On an alternative method for approximate solution of linear stochastic differential equations
• scientific article; zbMATH DE number 1302159 (Why is no real title available?)
• A recursive algorithm for the solution of special non-linear stochastic differential equations
• A FINITE DIFFERENCE METHOD FOR PIECEWISE DETERMINISTIC PROCESSES WITH MEMORY. II

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