Simulation of stochastic differential equations

DOI10.1007/BF00773344zbMath0807.65147MaRDI QIDQ1335342

Taketomo Mitsui, Yoshihiro Saito

Publication date: 4 October 1994

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

zbMATH Keywords

error estimates; numerical experiments; initial value problems; Itô stochastic differential equations

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

65L70: Error bounds for numerical methods for ordinary differential equations

65C99: Probabilistic methods, stochastic differential equations

Related Items

Some issues in discrete approximate solution for stochastic differential equations, Local linearization method for the numerical solution of stochastic differential equations, Symplectic integrators to stochastic Hamiltonian dynamical systems derived from composition methods, STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS

Cites Work

• Discretization and simulation of stochastic differential equations
• Discretization of the Wiener-process in difference-methods for stochastic differential equations
• A survey of numerical methods for stochastic differential equations
• The rate of convergence for approximate solutions of stochastic differential equations
• Simulation studies on time discrete diffusion approximations
• Continuous Markov processes and stochastic equations
• Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations
• Numerical Treatment of Stochastic Differential Equations
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