scientific article; zbMATH DE number 846975

MaRDI QIDQ4864800zbMATH OpenFDO

Authors Ioan Asiminoaei

Publication date 17 November 1996

zbMATH Keywords

Itô differential equationsMilstein schemenumerical computationone-dimensional diffusion processsplitting up method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

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(4)

• Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion
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• scientific article; zbMATH DE number 847973 (Why is no real title available?)
• Operator splitting around Euler-Maruyama scheme and high order discretization of heat kernels

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