Algorithmic solution of stochastic differential equations

DOI10.3390/A3030216zbMATH Open1461.65008OpenAlexW1985321567MaRDI QIDQ1662550FDOQ1662550

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

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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)

Cites Work

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• On a Formula Concerning Stochastic Differentials
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• Stochastic integral
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• Stochastic-\(\alpha\) calculus, a fundamental theorem and Burkholder-Davis-Gundy-type estimates

Cited In (9)

• Constructing an SDE from its two-point generator
• Solution algorithm for parabolic equation by simulating stochastic processes
• Algorithms for linear stochastic delay differential equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Stochastic algorithms
• Title not available (Why is that?)
• A recursive algorithm for the solution of special non-linear stochastic differential equations
• Title not available (Why is that?)

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