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

DOI10.1515/MCMA-2017-0110MaRDI QIDQ2409053zbMATH OpenOpenAlexFDO

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

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)

• scientific article; zbMATH DE number 1471744 (Why is no real title available?)
• 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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