A method for the calculation of characteristics for the solution to stochastic differential equations

DOI10.1515/MCMA-2017-0110zbMATH Open1375.65003OpenAlexW2729975854MaRDI QIDQ2409053FDOQ2409053

Authors: A. D. Egorov, Victor Malyutin 

Publication date: 10 October 2017

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2017-0110

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zbMATH Keywords

stochastic differential equationFokker-Planck equationnumerical experimentFokker-Planck operatoreigenfunctions expansiontransition probability function

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fokker-Planck equations (35Q84) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (4)

• Title not available (Why is that?)
• Computing survival probabilities based on stochastic differential models
• A numerical method for investigating the statistical dynamics of stochastic systems
• Application of semiclassical approximation to stochastic differential equations

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