scientific article; zbMATH DE number 1500890

MaRDI QIDQ4499743zbMATH OpenFDO

Authors Taketomo Mitsui

Publication date 4 September 2000

zbMATH Keywords

convergencestabilitystochastic differential equationstime-discrete schemes

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for initial value problems involving ordinary differential equations (65L05) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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(12)

• Some issues in discrete approximate solution for stochastic differential equations
• Discretization of stochastic differential equations. Application to simulation. Stochastic numerical methods for partial differential equations
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• Singular stochastic computational models, stochastic analysis, PDE analysis, and numerics
• Computing survival probabilities based on stochastic differential models
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• INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS ON A COMPUTER

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