A second-order Monte Carlo method for the solution of the Ito stochastic differential equation

DOI10.1080/07362998608809086zbMath0602.65054WikidataQ115297078 ScholiaQ115297078MaRDI QIDQ3738494

Stephen B. Pope, Daniel C. Haworth

Publication date: 1986

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362998608809086

zbMATH Keywords

convergence; numerical results; Monte Carlo simulation; difference equation; Taylor series expansion; homogeneous Langevin equation; vector Ito stochastic differential equation

Mathematics Subject Classification ID

65C05: Monte Carlo methods

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

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

35F05: Linear first-order PDEs

65C99: Probabilistic methods, stochastic differential equations

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