scientific article; zbMATH DE number 3850393

MaRDI QIDQ3319700zbMATH OpenFDO

Authors Wolfgang Wagner, Sergeĭ Mikhaĭlovich Ermakov

Publication date 1982

zbMATH Keywords

Banach spaceMarkov processrepresentation of solutionsstochastic integralstrajectories of a random process

Mathematics Subject Classification ID

Random operators and equations (aspects of stochastic analysis) (60H25) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Numerical solutions to equations with nonlinear operators (65J15)

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• Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations
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