scientific article; zbMATH DE number 3879985

zbMATH Open0552.65017MaRDI QIDQ3345665FDOQ3345665

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

Publication date: 1984

Title of this publication is not available (Why is that?)

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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)

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

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