Numerical Integration of Multiplicative-Noise Stochastic Differential Equations

DOI10.1137/0722069zbMath0583.65098MaRDI 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

zbMATH Keywords

numerical examples; Wiener processes; Runge-Kutta method; Ito stochastic differential equation; Error estimates

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

65L05: Numerical methods for initial value problems involving ordinary differential equations

65C99: Probabilistic methods, stochastic differential equations

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