scientific article; zbMATH DE number 3879985

MaRDI QIDQ3345665zbMATH OpenFDO

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

Publication date 1984

zbMATH Keywords

functionals of exponential typeRunge-Kutta methodstochastic system of differential equationsWiener integrals

Mathematics Subject Classification ID

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

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Cited in

(4)

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

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