Preservation of probabilistic laws through Euler methods for ornstein-uhlenbeck process
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Cites work
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- scientific article; zbMATH DE number 4022294 (Why is no real title available?)
- scientific article; zbMATH DE number 3438157 (Why is no real title available?)
- scientific article; zbMATH DE number 917426 (Why is no real title available?)
- A special stability problem for linear multistep methods
- Approximate discrete-time schemes for statistics of diffusion processes
- Approximation of Upper Lyapunov Exponents of Bilinear Stochastic Differential Systems
- Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise
- Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations
- Discretization and simulation of stochastic differential equations
- Numerical Solution of Ito Integral Equations
- Numerical Treatment of Stochastic Differential Equations
- Numerical integration of stochastic differential equations.
- Numerical solutions of linear stochastic differential equations
- \(A\)-stability of Runge-Kutta methods for systems with additive noise
Cited in
(15)- Analysis of the discrete Ornstein-Uhlenbeck process caused by the tick size effect
- Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
- Analysis of noise-induced transitions for Hopf system with additive and multiplicative random disturbances
- Exact pathwise simulation of multi-dimensional Ornstein-Uhlenbeck processes
- Almost sure asymptotic stability of drift-implicit \(\theta\)-methods for bilinear ordinary stochastic differential equations in \(\mathbb R^1\)
- Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations
- Almost sure exponential stability of the Euler-Maruyama approximations for stochastic functional differential equations
- A brief review on stability investigations of numerical methods for systems of stochastic differential equations
- Convergence and stability of a micro-macro acceleration method: linear slow-fast stochastic differential equations with additive noise
- Stationary distributions of Euler–Maruyama-type stochastic difference equations with Markovian switching and their convergence
- Integration of the stochastic underdamped harmonic oscillator by the \(\theta \)-method
- NUMERICAL EXPLORATION OF DYNAMIC BEHAVIOR OF ORNSTEIN-UHLENBECK PROCESSES VIA EHRENFEST PROCESS APPROXIMATION(<Special Issue>Advanced Planning and Scheduling for Supply Chain Management)
- Accurate stationary densities with partitioned numerical methods for stochastic partial differential equations
- Almost sure asymptotic stability and convergence of stochastic theta methods applied to systems of linear SDEs in \(\mathbb R^d\)
- Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process
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