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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Cites work
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- A survey of numerical methods for stochastic differential equations
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- Continuous Markov processes and stochastic equations
- Discretization and simulation of stochastic differential equations
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- Simulation studies on time discrete diffusion approximations
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- Fast simulations of stochastic dynamical systems
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- A second-order Monte Carlo method for the solution of the Ito stochastic differential equation
- Simulation of stopped diffusions
- An iterative technique for the numerical solution of nonlinear stochastic Itô-Volterra integral equations
- Expansion of the global error for numerical schemes solving stochastic differential equations
- Rounding Error in Numerical Solution of Stochastic Differential Equations
- Discretization and simulation of stochastic differential equations
- A survey of numerical methods for stochastic differential equations
- Some experiments on numerical simulations of stochastic differential equations and a new algorithm
- Evaluating methods for approximating stochastic differential equations
- On the numerical stability of simulation methods for SDEs under multiplicative noise in finance
- Simulation studies on time discrete diffusion approximations
- Numerical solution of SDE through computer experiments. Including floppy disk
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- Some issues in discrete approximate solution for stochastic differential equations
- Numerical simulation for certain stochastic ordinary differential equations
- Numerical simulations of stochastic differential equations
- Local error estimates for moderately smooth problems. II: SDEs and SDAEs with small noise
- Numerical integration of stochastic differential equations.
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- Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
- STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
- Computer simulations of multiplicative stochastic differential equations
- A collocation technique for solving nonlinear stochastic Itô-Volterra integral equations
- Method for simulating non-linear stochastic differential equations in ℝ1
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- Numerical solution of stochastic Itô-Volterra integral equations based on Bernstein multi-scaling polynomials
- Numerical method for solving linear stochastic Itô-Volterra integral equations driven by fractional Brownian motion using hat functions
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- Monte Carlo simulation of nonlinear diffusion processes
- Analysis of estimation accuracy of the first moments of a Monte Carlo solution to an SDE with Wiener and Poisson components
- Numerical methods for simulation of stochastic differential equations
- Short Lecture Session
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- Local linearization method for the numerical solution of stochastic differential equations
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- Energy conservative stochastic difference scheme for stochastic Hamilton dynamical systems
- Linear vs standard information for scalar stochastic differential equations
- Macroscopic neural mass model constructed from a current-based network model of spiking neurons
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- Simulation and approximation of Lévy-driven stochastic differential equations
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