Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
From MaRDI portal
numerical examplesWiener processesRunge-Kutta methodError estimatesIto stochastic differential equation
Probabilistic methods, stochastic differential equations (65C99) 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)
Recommendations
- Numerical integration of stochastic partial differential equations
- Numerical integration of stochastic differential equations with variable diffusivity
- A numerical method for some stochastic differential equations with multiplicative noise
- scientific article; zbMATH DE number 44054
- Numerical integration of stochastic differential equations.
- A stable numerical scheme for stochastic differential equations with multiplicative noise
- scientific article; zbMATH DE number 939851
- scientific article; zbMATH DE number 54145
- Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients
Cited in
(49)- Dynamics of soft interacting particles on a comb
- Estimating the uncertainty in underresolved nonlinear dynamics
- Complex Langevin dynamics and supersymmetric quantum mechanics
- Numerical integration of stochastic differential equations with variable diffusivity
- A second-order Monte Carlo method for the solution of the Ito stochastic differential equation
- Stability of weak numerical schemes for stochastic differential equations
- Efficient stochastic response analysis of high-dimensional nonlinear systems subject to multiplicative noise via the DR-PDEE
- Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise
- Polynomial Propagation of Moments in Stochastic Differential Equations
- A survey of numerical methods for stochastic differential equations
- Higher-order implicit strong numerical schemes for stochastic differential equations
- A class of second-order Runge-Kutta methods for numerical solution of stochastic differential equations
- Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations
- On the numerical stability of simulation methods for SDEs under multiplicative noise in finance
- A Haar-like construction for the Ornstein Uhlenbeck process
- A variance reduction technique for use with the extrapolated Euler method for numerical solution of stochastic differential equations
- Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples
- On weak implicit and predictor-corrector methods
- Runge-Kutta Algorithm for the Numerical Integration of Stochastic Differential Equations
- scientific article; zbMATH DE number 2069333 (Why is no real title available?)
- scientific article; zbMATH DE number 5568602 (Why is no real title available?)
- Wong-Zakai approximations for stochastic differential equations
- Numerical simulation for certain stochastic ordinary differential equations
- Automated first and second order moment equations for a set of stochastic differential equations of type \({\mathbf A}\dot{\mathbf Z} + {\mathbf {BZ}} = {\mathbf C}(t)\)
- Numerical integration of stochastic differential equations.
- Computer simulations of multiplicative stochastic differential equations
- The truncated Euler-Maruyama method for stochastic differential equations
- Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
- Chaotic pattern transitions in pulse neural networks
- Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations
- A numerical method for some stochastic differential equations with multiplicative noise
- Remarks on the numerical solution of Langevin equations on unitary group spaces
- Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
- Stability of weak numerical schemes for stochastic differential equations
- Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients
- A random map implementation of implicit filters
- Undiased monte carlo estimators for functionals of weak solutions of stochastic diffretial equations
- Weak second-order splitting schemes for Lagrangian Monte Carlo particle methods for the composition PDF/FDF transport equations
- Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
- Towards learning optimized kernels for complex Langevin
- Numerical integration of stochastic partial differential equations
- scientific article; zbMATH DE number 4098431 (Why is no real title available?)
- Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations
- Stochastic Synchrony of Chaos in a Pulse-Coupled Neural Network with Both Chemical and Electrical Synapses Among Inhibitory Neurons
- Numerical procedures for sample structures on stochastic differential equations
- Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family
- scientific article; zbMATH DE number 6175359 (Why is no real title available?)
- Runge-Kutta methods for numerical solution of stochastic differential equations
- Mean-square stability of a constructed Third-order stochastic Runge--Kutta schemes for general stochastic differential equations
This page was built for publication: Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3706475)
