Modeling with Itô Stochastic Differential Equations

DOI10.1007/978-1-4020-5953-7zbMATH Open1130.60064OpenAlexW571221908MaRDI QIDQ3423451FDOQ3423451

Publication date: 22 February 2007

Published in: Mathematical Modelling: Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4020-5953-7

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Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Computing the probability density function of non-autonomous first-order linear homogeneous differential equations with uncertainty
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Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
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