scientific article; zbMATH DE number 1343499

MaRDI QIDQ4267191zbMATH OpenFDO

Authors Mladen Rogina, Nedžad Limić

Publication date 20 July 2000

zbMATH Keywords

difference schemediffusion processMarkov jump processparabolic systemsimulationstochastic differential equation

Mathematics Subject Classification ID

Initial value problems for second-order parabolic equations (35K15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Continuous-time Markov processes on discrete state spaces (60J27) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

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Cited in

(1)

• Explicit stable methods for second order parabolic systems

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