Numerical Integration of Stochastic Differential Equations

DOI10.1002/j.1538-7305.1979.tb02967.xzbMath0432.65073OpenAlexW1986512391MaRDI 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 methodextension

Mathematics Subject Classification ID

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) Probabilistic methods, stochastic differential equations (65C99)

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