scientific article; zbMATH DE number 3651671

MaRDI QIDQ3851536zbMATH OpenFDO

Authors Werner Rümelin

Publication date 1980

zbMATH Keywords

Euler's methodHeun's methodorder of convergenceRunge-Kutta approximationsstochastic differential equations

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99) Numerical methods for initial value problems involving ordinary differential equations (65L05)

Cited in

(4)

• An efficient approximation method for stochastic differential equations by means of the exponential Lie series
• Discretization of the Wiener-process in difference-methods for stochastic differential equations
• Approximate solution of random integral equations: General methods
• Simulation of diffusions with boundary conditions

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