Approximation von stochastischen Differentialgleichungen auf Digital- und Hybridrechnern

DOI10.1007/BF02252084zbMath0326.34068MaRDI QIDQ1225738

Ludwig Fahrmeir

Publication date: 1976

Published in: Computing (Search for Journal in Brave)

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

65L05: Numerical methods for initial value problems involving ordinary differential equations

34-04: Software, source code, etc. for problems pertaining to ordinary differential equations

65J99: Numerical analysis in abstract spaces

Related Items

Nonlinear continuous-discrete filtering using kernel density estimatesand functional integrals, A survey of numerical methods for stochastic differential equations

Cites Work

• On the relation between ordinary and stochastic differential equations
• Stochastic processes and filtering theory
• Introduction to stochastic control theory
• Schwache Konvergenz gegen Diffusionsprozesse
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