Numerical procedures for sample structures on stochastic differential equations

DOI10.1063/1.528647MaRDI QIDQ3204017zbMATH OpenOpenAlexFDO

Authors Hiroshi Nakazawa

Publication date 1990

Published in Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1063/1.528647

zbMATH Keywords

algorithmscomparisonstochastic differential equationsNumerical results

Mathematics Subject Classification ID

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)

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Cites work

• A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
• A survey of numerical methods for stochastic differential equations
• Approximate Integration of Stochastic Differential Equations
• Continuous Markov processes and stochastic equations
• Generalized Cumulant Expansion Method
• Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
• Numerical Integration of Stochastic Differential Equations
• Numerical Integration of Stochastic Differential Equations-II
• Numerical Solution of Ito Integral Equations
• Numerical Treatment of Stochastic Differential Equations
• Numerical integration of stochastic differential equations.
• The Homogeneous Chaos
• The digital simulation of stochastic differential equations
• The numerical solution of stochastic differential equations
• The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations

Cited in

(2)

• Evaluating methods for approximating stochastic differential equations
• Algorithmic solution of stochastic differential equations

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