Analysis of some numerical schemes for stochastic differential equations
stochastic differential equationnumerical experimentsEuler schemeMilstein schemepredictor-corrector method
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20) Error bounds for numerical methods for ordinary differential equations (65L70)
- Higher-order implicit strong numerical schemes for stochastic differential equations
- On weak implicit and predictor-corrector methods
- MS-stability analysis of predictor-corrector schemes for stochastic differential equations
- STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
- Predictor-Corrector Methods of Runge--Kutta Type for Stochastic Differential Equations
- Numerical analysis of the stochastic Stokes equations of Wick type
- Numerical and mathematical analysis of blow-up problems for a stochastic differential equation
- Analysis and numerical approximation of a class of two-way diffusions
- scientific article; zbMATH DE number 6453934 (Why is no real title available?)
- Some remarks on the numerical approximation of stochastic differential equations
- scientific article; zbMATH DE number 2204840 (Why is no real title available?)
- Corrected implicit schemes for fractional stochastic differential equation
- Error and convergence of two numerical schemes for stochastic differential equations
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