scientific article; zbMATH DE number 4028851

zbMATH Open0632.65145MaRDI QIDQ3769935FDOQ3769935

Authors: Wesley P. Petersen 

Publication date: 1987

Title of this publication is not available (Why is that?)

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zbMATH Keywords

momentsMonte Carlo simulationRunge-Kutta methodstiff equationvector computerstrapezoidal methodItô stochastic differential equations

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Parallel numerical computation (65Y05) 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) Numerical methods for initial value problems involving ordinary differential equations (65L05)

Cited In (11)

• Stability in Distribution of Numerical Solutions for Stochastic Differential Equations
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• A second-order Monte Carlo method for the solution of the Ito stochastic differential equation
• Some experiments on numerical simulations of stochastic differential equations and a new algorithm
• Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.
• On the simulation of iterated Itô integrals.
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• Implementing stochastic control software on supercomputing machines
• Numerical solution to stochastic differential equations on supercomputers
• Numerical solution to stochastic differential equations with a random structure on supercomputers
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