Numerical Methods in the Weak Sense for Stochastic Differential Equations with Small Noise

DOI10.1137/S0036142996278967MaRDI QIDQ4377550zbMATH OpenOpenAlexFDO

Authors M. V. Tretyakov, Grigori N. Milstein

Publication date 10 February 1998

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0036142996278967

zbMATH Keywords

computer simulationMonte Carlo methodssmall noiseweak approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99)

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Cited in

(17)

• Numerical analysis of noise-induced regular oscillations
• Stabilized explicit methods for the approximation of stochastic systems driven by small additive noises
• Multilevel Monte Carlo for stochastic differential equations with small noise
• Moment Lyapunov exponents and stochastic stability of moving narrow bands
• Probabilistic methods for the incompressible Navier-Stokes equations with space periodic conditions
• Weak convergence of the Euler scheme for stochastic differential delay equations
• The probability approach to numerical solution of nonlinear parabolic equations
• A weak local linearization scheme for stochastic differential equations with multiplicative noise
• Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noises
• Numerical algorithms for semilinear parabolic equations with small parameter based on approximation of stochastic equations
• Adaptive weak approximation of stochastic differential equations
• Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise
• Multistep methods for SDEs and their application to problems with small noise
• INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS ON A COMPUTER
• Computing ergodic limits for Langevin equations
• A numerical method for some stochastic differential equations with multiplicative noise
• Moment Lyapunov exponents and stochastic stability of a double-beam system under compressive axial loading

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