Algorithmic solution of stochastic differential equations

DOI10.3390/A3030216MaRDI QIDQ1662550zbMATHOpenAlexFDO

Authors Henri Schurz

Publication date 20 August 2018

Published in Algorithms (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3390/a3030216

zbMATH Keywords

stochastic differential equationsstrong solutionPDE-based algorithm

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(9)

• Algorithms for linear stochastic delay differential equations
• A recursive algorithm for the solution of special non-linear stochastic differential equations
• scientific article; zbMATH DE number 4034803 (Why is no real title available?)
• scientific article; zbMATH DE number 3866307 (Why is no real title available?)
• scientific article; zbMATH DE number 2119824 (Why is no real title available?)
• Solution algorithm for parabolic equation by simulating stochastic processes
• scientific article; zbMATH DE number 799110 (Why is no real title available?)
• Constructing an SDE from its two-point generator
• Stochastic algorithms

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