Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
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Publication:3706475
DOI10.1137/0722069zbMath0583.65098OpenAlexW1970994680MaRDI QIDQ3706475
John R. Klauder, Wesley P. Petersen
Publication date: 1985
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0722069
numerical examplesWiener processesRunge-Kutta methodIto stochastic differential equationError estimates
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Probabilistic methods, stochastic differential equations (65C99)
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