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)

Recommendations

• Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
• Quadrature formulas for the Wiener measure
• scientific article; zbMATH DE number 3932286
• Computing conditional Wiener integrals of functionals of a general form
• scientific article; zbMATH DE number 1284029

Cited in

(4)

• 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
• Unbiased Monte Carlo evaluation of certain functional integrals

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3345665)