Numerical integration of stochastic differential equations: weak second-order mid-point scheme for application in the composition PDF method.

DOI10.1016/S0021-9991(02)00054-2zbMath1062.65010MaRDI QIDQ1873366

Renfeng Cao, Stephen B. Pope

Publication date: 20 May 2003

Published in: Journal of Computational Physics (Search for Journal in Brave)

zbMATH Keywords

Stochastic differential equations; Composition PDF method

Mathematics Subject Classification ID

65C30: Numerical solutions to stochastic differential and integral equations

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