Adaptive density tracking by quadrature for stochastic differential equations

DOI10.1016/j.amc.2022.127298WikidataQ115361043 ScholiaQ115361043MaRDI QIDQ2152700

Akil C. Narayan, Ryleigh A. Moore

Publication date: 11 July 2022

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2105.08148

zbMATH Keywords

numerical methods; stochastic differential equations; Leja points

Mathematics Subject Classification ID

60Hxx: Stochastic analysis

65Mxx: Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems

41Axx: Approximations and expansions