Algorithmic solution of stochastic differential equations

DOI10.3390/A3030216MaRDI QIDQ1662550zbMATH OpenOpenAlexFDO

Authors Henri Schurz

Publication date 20 August 2018

Published in Algorithms (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

PDE-based algorithmstochastic differential equationsstrong solution

Mathematics Subject Classification ID

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

Review text

Summary: This brief note presents an algorithm to solve ordinary stochastic differential equations (SDEs). The algorithm is based on the joint solution of a system of two partial differential equations and provides strong solutions for finite-dimensional systems of SDEs driven by standard Wiener processes and with adapted initial data. Several examples illustrate its use.

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(9)

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

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