Numerical solution of stochastic differential equation corresponding to continuous distributions

DOI10.4134/CKMS.2011.26.4.709MaRDI QIDQ3097899zbMATH OpenWikidataFDO

Authors

Publication date 10 November 2011

Published in Communications of the Korean Mathematical Society (Search for Journal in Brave)

zbMATH Keywords

confidence intervalnumerical resultsstochastic differential equationRunge-Kutta methodEuler-Maruyama methodcontinuous distribution function

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) 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) Numerical methods for initial value problems involving ordinary differential equations (65L05)

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Cited in

(4)

• Numerical solution to an integral equation for the kth moment function of a geometric process
• Solving some stochastic differential equation using Dirichlet distributions
• Numerical solutions of stochastic differential equations with piecewise continuous arguments under Khasminskii-type conditions
• Solution of the stochastic differential equations equivalent to the non-stationary Parker transport equation by the strong order numerical methods

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