The numerical solution of stochastic differential equations

DOI10.1017/S0334270000001405zbMATH Open0359.60081OpenAlexW2072118886MaRDI QIDQ4131405FDOQ4131405

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

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)

Cited In (21)

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

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