Digital simulation of Poisson stochastic differential equations

DOI10.1080/00207728008967053MaRDI QIDQ3875040zbMATH OpenOpenAlexFDO

Authors David J. Wright

Publication date 1980

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207728008967053

zbMATH Keywords

digital simulationPoisson stochastic differential equations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites work

• Modeling and analysis of stochastic differential equations driven by point processes
• The digital simulation of stochastic differential equations

Cited in

(2)

• Strong approximations of stochastic differential equations with jumps
• A survey of numerical methods for stochastic differential equations

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