scientific article; zbMATH DE number 3879985

MaRDI QIDQ3345665zbMATH OpenFDO

Authors S. A. Gladyshev, G. N. Mil'shtejn

Publication date 1984

zbMATH Keywords

Runge-Kutta methodstochastic system of differential equationsWiener integralsfunctionals of exponential type

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Numerical quadrature and cubature formulas (65D32) Approximate quadratures (41A55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

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Cited in

(4)

• The Runge-K0utta method for evaluating the Wiener integrals of exponential type functionals
• Unbiased Monte Carlo evaluation of certain functional integrals
• Convergence rate of Euler scheme for stochastic differential equations: Functionals of solutions
• Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations

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