scientific article; zbMATH DE number 3642443

zbMATH Open0413.60056MaRDI QIDQ3048009FDOQ3048009

Authors: Wolfgang Wagner, Eckhard Platen 

Publication date: 1978

Title of this publication is not available (Why is that?)

zbMATH Keywords

Wiener processdiscrete time approximations for the solution of Ito equationsnumerical treatment of stochastic differential equations

Mathematics Subject Classification ID

Stochastic approximation (62L20) Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic integral equations (60H20)

Cited In (21)

• On the global error of Itô--Taylor schemes for strong approximation of scalar stochastic differential equations
• Nonlinear stochastic wave equations in 1D with fractional Laplacian, power-law nonlinearity and additive \(Q\)-regular noise
• A survey of numerical methods for stochastic differential equations
• A higher-order accurate fluid-particle algorithm for polymer flows
• Geometric Euler-Maruyama schemes for stochastic differential equations in \(\mathrm{SO}(n)\) and \(\mathrm{SE}(n)\)
• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Simulation studies on time discrete diffusion approximations
• A novel stochastic locally transversal linearization (LTL) technique for engineering dynamical systems: strong solutions
• Option Pricing Under Incompleteness and Stochastic Volatility
• Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations
• Optimal approximation of stochastic differential equations by adaptive step-size control
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
• Remarks on Taylor Series Expansions and Conditional Expectations for Stratonovich SDEs with Complete V‐Commutativity
• General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
• Numerical methods for simulation of stochastic differential equations
• Optimal pointwise approximation of SDEs based on Brownian motion at discrete points
• Effects of distributed delays on the stability of structures under seismic excitation and multiplicative noise.
• Linear vs standard information for scalar stochastic differential equations
• The approximation of multiple stochastic integrals
• Relations between multiple ito and stratonovich integrals

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