Numerical methods for Stochastic differential equations: two examples

DOI10.1051/PROC/201864065OpenAlexW2901967186WikidataQ128914692 ScholiaQ128914692MaRDI QIDQ4615502FDOQ4615502

Authors: Paul-Eric Chaudru De Raynal, Gilles Pagès, Clément Rey 

Publication date: 29 January 2019

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/proc/201864065

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zbMATH Keywords

stochastic differential equationsSkorokhod problemnumerical probabilityinvariant distributionergodic Feller process

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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Cited In (2)

• On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter
• Numerical procedures for sample structures on stochastic differential equations

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