Numerical Treatment of Stochastic Differential Equations
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Publication:3960061
DOI10.1137/0719041zbMath0496.65038OpenAlexW1991239884MaRDI QIDQ3960061
Publication date: 1982
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0719041
uniform convergenceorder of convergenceIto stochastic differential equationEuler's methodexplicit Runge-Kutta schemesHeun's method
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical methods for initial value problems involving ordinary differential equations (65L05) Probabilistic methods, stochastic differential equations (65C99)
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