scientific article; zbMATH DE number 846975

zbMATH Open0851.60056MaRDI QIDQ4864800FDOQ4864800

Authors: Ioan Asiminoaei 

Publication date: 17 November 1996

Title of this publication is not available (Why is that?)

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zbMATH Keywords

Milstein schemenumerical computationsplitting up methodone-dimensional diffusion processItô differential equations

Mathematics Subject Classification ID

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

Cited In (4)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion
• Operator splitting around Euler-Maruyama scheme and high order discretization of heat kernels

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