Numerical integration of stochastic differential equations with variable diffusivity

DOI10.1088/0305-4470/19/18/032MaRDI QIDQ4721620zbMATH OpenOpenAlexFDO

Authors I. T. Drummond, A. Hoch, R. R. Horgan

Publication date 1986

Published in Journal of Physics A: Mathematical and General (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/0305-4470/19/18/032

zbMATH Keywords

diffusion equationRunge-Kutta methodstochastic differential equationswhite noise

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Probabilistic methods, stochastic differential equations (65C99) Numerical methods for initial value problems involving ordinary differential equations (65L05)

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(7)

• Numerical integration of stochastic partial differential equations
• scientific article; zbMATH DE number 5568602 (Why is no real title available?)
• Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
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• scientific article; zbMATH DE number 1421747 (Why is no real title available?)
• Reciprocal identities and integral formulations for diffusive scalar transport and Stokes flow with position-dependent diffusivity or viscosity
• Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients

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