The numerical solution of stochastic differential equations

DOI10.1017/S0334270000001405MaRDI QIDQ4131405zbMATH OpenOpenAlexFDO

Authors Robert A. Pearson, Peter E. Kloeden

Publication date 1977

Published in The Journal of the Australian Mathematical Society. Series B. Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0334270000001405

Mathematics Subject Classification ID

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

Cited in

(22)

• Statistical analysis of diffusion systems with invariants
• Numerical integration of stochastic differential equations.
• The stochastic Weibull diffusion process: computational aspects and simulation
• Numerical solution of stochastic Itô-Volterra integral equations based on Bernstein multi-scaling polynomials
• A minimal model for synaptic integration in simple neurons
• Random search in fluid flow aided by chemotaxis
• Hitting time of Brownian motion subject to shear flow
• Numerical solution of stochastic differential problems in the biosciences
• Derivation and application of quantum Hamilton equations of motion
• Stochastic differential mixed-effect models
• Computational modeling of Adelta-fiber-mediated nociceptive detection of electrocutaneous stimulation
• Numerical procedures for sample structures on stochastic differential equations
• The approximation of multiple stochastic integrals
• Time-discretised Galerkin approximations of parabolic stochastic PDE's
• Modeling and analysis of linear invariant stochastic systems
• On the interpretation of Stratonovich calculus
• Simulating events of unknown probabilities via reverse time martingales
• Numerical solution of fuzzy stochastic differential equation
• A Haar wavelet method for linear and nonlinear stochastic Itô–Volterra integral equation driven by a fractional Brownian motion
• Probabilistic forecasts of solar irradiance using stochastic differential equations
• Newton methods for mean field games: a numerical study
• A survey of numerical methods for stochastic differential equations

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