Publication:4568478

zbMath1393.58021MaRDI QIDQ4568478

Elena V. Karachanskaya, Konstantin A. Rybakov, Tatiana A. Averina

Publication date: 21 June 2018

Full work available at URL: http://www.math.spbu.ru/diffjournal/EN/numbers/2018.1/article.1.3.html

zbMATH Keywords

stochastic differential equation; numerical method; invariant; stochastic system; random process; first integral

Mathematics Subject Classification ID

58J65: Diffusion processes and stochastic analysis on manifolds

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

65N99: Numerical methods for partial differential equations, boundary value problems

Cites Work

• Construction of programmed controls for a dynamic system based on the set of its first integrals
• Continuous Markov processes and stochastic equations
• Numerical methods for strong solutions of stochastic differential equations: an overview
• Digital simulation of stochastic differential equations and error estimates
• Approximate Integration of Stochastic Differential Equations
• The numerical solution of stochastic differential equations
• Predictor-Corrector Methods of Runge--Kutta Type for Stochastic Differential Equations
• Comparison of a statistical simulation method and a spectral method for analysis of stochastic multistructure systems with distributed transitions
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