Numerical Integration of Stochastic Differential Equations

DOI10.1002/J.1538-7305.1979.TB02967.XMaRDI QIDQ3870268zbMATH OpenOpenAlexFDO

Authors Eugene Helfand

Publication date 1979

Published in Bell System Technical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/j.1538-7305.1979.tb02967.x

zbMATH Keywords

extensionRunge-Kutta method

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99) Numerical methods for initial value problems involving ordinary differential equations (65L05)

Cited in

(12)

• Temporal variability in a system of coupled mitotic timers
• Numerical integration of stochastic differential equations.
• Strong convergence of the partially truncated Euler-Maruyama scheme for a stochastic age-structured SIR epidemic model
• Numerical procedures for sample structures on stochastic differential equations
• Numerical simulation of the aα-effect and turbulent magnetic diffusion with molecular diffusivity
• A second-order Monte Carlo method for the solution of the Ito stochastic differential equation
• Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise
• Stochastic resonance: Theory and numerics
• Filtered density function for large eddy simulation of turbulent reacting flows
• Coherence resonance in a washboard potential
• Computer simulations of multiplicative stochastic differential equations
• A survey of numerical methods for stochastic differential equations

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