Numerical methods for Stochastic differential equations: two examples

DOI10.1051/PROC/201864065MaRDI QIDQ4615502zbMATH OpenOpenAlexWikidataFDO

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)

Copyright license Creative Commons Attribution 4.0 International

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

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)

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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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