S-ROCK methods for stiff Itô SDEs
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Publication:1011858
DOI10.4310/CMS.2008.v6.n4.a3zbMath1162.60330MaRDI QIDQ1011858
Publication date: 14 April 2009
Published in: Communications in Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4310/cms.2008.v6.n4.a3
fractional Brownian motion; Gaussian noise; stochastic integral; spatial covariance function; Stochastic heat equation
65C20: Probabilistic models, generic numerical methods in probability and statistics
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65L20: Stability and convergence of numerical methods for ordinary differential equations
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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