Simulation of stochastic differential equations
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numerical experimentserror estimatesinitial value problems[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD+stochastic+differential+equations&go=Go It�� stochastic differential equations]
Probabilistic methods, stochastic differential equations (65C99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Error bounds for numerical methods for ordinary differential equations (65L70) Numerical methods for initial value problems involving ordinary differential equations (65L05)
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Cited in
(44)- scientific article; zbMATH DE number 2024673 (Why is no real title available?)
- Computer simulations of multiplicative stochastic differential equations
- scientific article; zbMATH DE number 3965117 (Why is no real title available?)
- Symplectic integrators to stochastic Hamiltonian dynamical systems derived from composition methods
- Numerical simulations of stochastic differential equations
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- Local error estimates for moderately smooth problems. II: SDEs and SDAEs with small noise
- Numerical method for solving linear stochastic Itô-Volterra integral equations driven by fractional Brownian motion using hat functions
- A second-order Monte Carlo method for the solution of the Ito stochastic differential equation
- Discretization of stochastic differential equations. Application to simulation. Stochastic numerical methods for partial differential equations
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- STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
- Rounding Error in Numerical Solution of Stochastic Differential Equations
- An iterative technique for the numerical solution of nonlinear stochastic Itô-Volterra integral equations
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- Some issues in discrete approximate solution for stochastic differential equations
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- Some experiments on numerical simulations of stochastic differential equations and a new algorithm
- Simulation and approximation of Lévy-driven stochastic differential equations
- Numerical methods for simulation of stochastic differential equations
- A survey of numerical methods for stochastic differential equations
- On the numerical stability of simulation methods for SDEs under multiplicative noise in finance
- A new numerical method for SDEs and its application in circuit simulation
- Macroscopic neural mass model constructed from a current-based network model of spiking neurons
- Numerical simulation for certain stochastic ordinary differential equations
- Evaluating methods for approximating stochastic differential equations
- Linear vs standard information for scalar stochastic differential equations
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- Analysis of estimation accuracy of the first moments of a Monte Carlo solution to an SDE with Wiener and Poisson components
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- Short Lecture Session
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