scientific article; zbMATH DE number 5509229

MaRDI QIDQ3603792zbMATH OpenFDO

Authors Shuya Kanagawa, Shigeyoshi Ogawa

Publication date 18 February 2009

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cited in

(5)

• Numerical simulation of multi dimensional reflecting geometrical Brownian motion and its application to mathematical finance
• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
• Nonlinear stochastic wave equations in 1D with fractional Laplacian, power-law nonlinearity and additive Q-regular noise
• Numeric and dynamic B-stability, exact-monotone and asymptotic two-point behavior of theta methods for stochastic differential equations
• Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process

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