Numerical Integration of Stochastic Differential Equations-II

DOI10.1002/J.1538-7305.1981.TB00303.XMaRDI QIDQ3915989zbMATH OpenOpenAlexFDO

Authors H. S. Greenside, Eugene Helfand

Publication date 1981

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

Full work available at URL https://doi.org/10.1002/j.1538-7305.1981.tb00303.x

zbMATH Keywords

Gaussian, white noisenonlinear stochastic differential equationsRunge-Kutta

Mathematics Subject Classification ID

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)

• Numerical integration of stochastic differential equations.
• The balanced implicit method of preserving positivity for the stochastic SIQS 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
• Diffusion-driven destabilization of spatially homogeneous limit cycles in reaction-diffusion systems
• Stimulus Competition by Inhibitory Interference
• Stochastic resonance: Theory and numerics
• Relaxation to quantum equilibrium and the Born rule in Nelson's stochastic dynamics
• Discretization of the Wiener-process in difference-methods for stochastic differential equations
• A survey of numerical methods for stochastic differential equations
• A simple stochastic model for the onset of turbulence in Rayleigh-Bénard convection

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