Numerical Integration of Stochastic Differential Equations

DOI10.1002/j.1538-7305.1979.tb02967.xzbMath0432.65073MaRDI QIDQ3870268

Eugene Helfand

Publication date: 1979

Published in: Bell System Technical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/j.1538-7305.1979.tb02967.x

zbMATH Keywords

Runge-Kutta method; extension

Mathematics Subject Classification ID

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

34F05: Ordinary differential equations and systems with randomness

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

65C99: Probabilistic methods, stochastic differential equations

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