Publication:3769935

zbMath0632.65145MaRDI QIDQ3769935

Wesley P. Petersen

Publication date: 1987

zbMATH Keywords

moments; Monte Carlo simulation; Runge-Kutta method; stiff equation; Itô stochastic differential equations; vector computers; trapezoidal method

Mathematics Subject Classification ID

65C20: Probabilistic models, generic numerical methods in probability and statistics

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

34F05: Ordinary differential equations and systems with randomness

65Y05: Parallel numerical computation

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

65C99: Probabilistic methods, stochastic differential equations

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