Digital simulation of stochastic differential equations and error estimates

DOI10.1016/0041-5553(78)90011-3zbMATH Open0416.60073OpenAlexW2001101129MaRDI QIDQ3206076FDOQ3206076

Authors: N. N. Nikitin, V. D. Razevig 

Publication date: 1978

Published in: USSR Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0041-5553(78)90011-3

zbMATH Keywords

Monte Carlo methodsstochastic differential equationsdigital simulation of stochastic differential equations

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Software, source code, etc. for problems pertaining to probability theory (60-04) Combinatorial probability (60C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (3)

• Statistical analysis of diffusion systems with invariants
• Modeling and analysis of linear invariant stochastic systems
• Stochastic modeling of the full cycle of one-product macroeconomy of growth

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