Some issues in discrete approximate solution for stochastic differential equations

DOI10.1016/0898-1221(94)00197-9zbMath0810.65145MaRDI QIDQ1339295

Taketomo Mitsui, Yoshio Komori, Yoshihiro Saito

Publication date: 1 December 1994

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(94)00197-9

zbMATH Keywords

stability; convergence; stochastic differential equations; test equation

Mathematics Subject Classification ID

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

65C99: Probabilistic methods, stochastic differential equations

Related Items

Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations, Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems, Assessment of numerical accuracy of PDF/Monte Carlo methods for turbulent reacting flows, Adams methods for the efficient solution of stochastic differential equations with additive noise, Numerical solutions of stochastic differential delay equations under local Lipschitz condition, Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations, Mean-square stability properties of an adaptive time-stepping SDE solver

Cites Work

• Higher-order implicit strong numerical schemes for stochastic differential equations
• Simulation of stochastic differential equations
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item