A note on Newton's method for system of stochastic differential equations

DOI10.1515/MCMA-2012-0010MaRDI QIDQ4900334zbMATH OpenOpenAlexFDO

Authors Reza Habibi

Publication date 24 January 2013

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma-2012-0010

zbMATH Keywords

integrated processesmultivariate stochastic differential equationsNewton's methodsecond order diffusion process

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Numerical solutions to stochastic differential and integral equations (65C30)

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• A family of Chaplygin-type solvers for Itô stochastic differential equations
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• Approximation de newton pour les équations différentielles stochastiques
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