Efficient numerical solution of stochastic differential equations using exponential timestepping (Q5927966)
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scientific article; zbMATH DE number 1579098
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient numerical solution of stochastic differential equations using exponential timestepping |
scientific article; zbMATH DE number 1579098 |
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Efficient numerical solution of stochastic differential equations using exponential timestepping (English)
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19 March 2001
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This paper describes a discrete time approximation method for stochastic differential equations. The stepsize is taken to be random such that approximate solution of the stochastic differential equation jumps from level to level. Boundaries can be conveniently treated by this method.
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diffusions with boundaries
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random stepsize
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discrete time approximation method
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stochastic differential equations
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