Simulation of stochastic differential equations

DOI10.1007/BF00773344zbMATH Open0807.65147MaRDI QIDQ1335342FDOQ1335342

Authors: Yoshihiro Saito, Taketomo Mitsui 

Publication date: 4 October 1994

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

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zbMATH Keywords

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]

Mathematics Subject Classification ID

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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• Simulation studies on time discrete diffusion approximations
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• Discretization of the Wiener-process in difference-methods for stochastic differential equations
• Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations

Cited In (44)

• Title not available (Why is that?)
• Title not available (Why is that?)
• A second-order Monte Carlo method for the solution of the Ito stochastic differential equation
• Expansion of the global error for numerical schemes solving stochastic differential equations
• Simulation of stopped diffusions
• Rounding Error in Numerical Solution of Stochastic Differential Equations
• An iterative technique for the numerical solution of nonlinear stochastic Itô-Volterra integral equations
• Discretization and simulation of stochastic differential equations
• Some experiments on numerical simulations of stochastic differential equations and a new algorithm
• A survey of numerical methods for stochastic differential equations
• On the numerical stability of simulation methods for SDEs under multiplicative noise in finance
• Evaluating methods for approximating stochastic differential equations
• Simulation studies on time discrete diffusion approximations
• Numerical solution of SDE through computer experiments. Including floppy disk
• Title not available (Why is that?)
• Some issues in discrete approximate solution for stochastic differential equations
• Numerical simulation for certain stochastic ordinary differential equations
• Title not available (Why is that?)
• Numerical integration of stochastic differential equations.
• Numerical simulations of stochastic differential equations
• Local error estimates for moderately smooth problems. II: SDEs and SDAEs with small noise
• Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
• STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
• Method for simulating non-linear stochastic differential equations in ℝ¹
• Computer simulations of multiplicative stochastic differential equations
• A collocation technique for solving nonlinear stochastic Itô-Volterra integral equations
• Title not available (Why is that?)
• 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
• Analysis of estimation accuracy of the first moments of a Monte Carlo solution to an SDE with Wiener and Poisson components
• Symplectic integrators to stochastic Hamiltonian dynamical systems derived from composition methods
• Monte Carlo simulation of nonlinear diffusion processes
• Numerical methods for simulation of stochastic differential equations
• Short Lecture Session
• Discretization of the Wiener-process in difference-methods for stochastic differential equations
• Title not available (Why is that?)
• Local linearization method for the numerical solution of stochastic differential equations
• Energy conservative stochastic difference scheme for stochastic Hamilton dynamical systems
• Macroscopic neural mass model constructed from a current-based network model of spiking neurons
• Linear vs standard information for scalar stochastic differential equations
• Discretization of stochastic differential equations. Application to simulation. Stochastic numerical methods for partial differential equations
• Simulation and approximation of Lévy-driven stochastic differential equations
• A new numerical method for SDEs and its application in circuit simulation
• Fast simulations of stochastic dynamical systems

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