Publication:4797568

zbMath1012.65006MaRDI QIDQ4797568

Tatiana A. Averina

Publication date: 16 March 2003

zbMATH Keywords

numerical experiments; stochastic differential equations; Rosenbrock-type method; statistical simulation algorithm; dynamic random-structure system

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

37H10: Generation, random and stochastic difference and differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

37M25: Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.)