scientific article

zbMath0632.65145MaRDI QIDQ3769935

Wesley P. Petersen

Publication date: 1987

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

momentsMonte Carlo simulationRunge-Kutta methodstiff equationItô stochastic differential equationsvector computerstrapezoidal method

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Parallel numerical computation (65Y05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

Stability in Distribution of Numerical Solutions for Stochastic Differential Equations ⋮ Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.

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