Numerical simulation for certain stochastic ordinary differential equations

DOI10.1016/0021-9991(88)90079-4MaRDI QIDQ1082047zbMATH OpenOpenAlexFDO

Authors Renato Spigler

Publication date 1988

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

Full work available at URL https://doi.org/10.1016/0021-9991(88)90079-4

zbMATH Keywords

Monte Carlo methodsnumerical simulation of stochastic equations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear ordinary differential equations and systems (34A34) Linear boundary value problems for ordinary differential equations (34B05) Ordinary differential equations and systems with randomness (34F05) Numerical solution of boundary value problems involving ordinary differential equations (65L10) Numerical methods for initial value problems involving ordinary differential equations (65L05)

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Cites work

• scientific article; zbMATH DE number 3285978 (Why is no real title available?)
• scientific article; zbMATH DE number 3196612 (Why is no real title available?)
• Invariant imbedding method for wave problems
• Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
• Wave Propagation in a One-Dimensional Random Medium

Cited in

(15)

• Computer simulations of multiplicative stochastic differential equations
• Monte Carlo-type simulation for solving stochastic ordinary differential equations
• Numerical simulations of stochastic differential equations
• ON SOLVING STOCHASTIC INITIAL-VALUE DIFFERENTIAL EQUATIONS
• Numerical schemes for random ODEs with affine noise
• scientific article; zbMATH DE number 4028851 (Why is no real title available?)
• An explicit numerical scheme for the computer simulation of the stochastic transport equation
• Numerical simulations for stochastic differential equations on manifolds by stochastic symmetric projection method
• INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS ON A COMPUTER
• Random perturbations effects on the stability of tension leg platforms in offshore engineering and of other large structures
• scientific article; zbMATH DE number 822846 (Why is no real title available?)
• Numerical analysis of a stochastic model for the longitudinal motion of a missile by the Monte Carlo method carried out on a supercomputer
• Numerical evaluation of ODE solutions by Monte Carlo enumeration of Butcher series
• scientific article; zbMATH DE number 749531 (Why is no real title available?)
• scientific article; zbMATH DE number 3963123 (Why is no real title available?)

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