An efficient spectral method for the numerical solution to some classes of stochastic differential equations
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Publication:5011137
DOI10.1002/mma.7157OpenAlexW3118627356MaRDI QIDQ5011137
Hacène Djellout, Cédric Chauvière
Publication date: 27 August 2021
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.7157
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
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