A modification of numerical methods for stochastic differential equations with the first integral

DOI10.15372/SJNM20190301OpenAlexW4229594133MaRDI QIDQ5043022FDOQ5043022

Authors: T. A. Averina, K. A. Rybakov 

Publication date: 26 October 2022

Published in: Сибирский журнал вычислительной математики (Search for Journal in Brave)

Full work available at URL: http://mathnet.ru/eng/sjvm713

zbMATH Keywords

manifoldprojectionnumerical methodsstochastic differential equationsfirst integralstatistical modeling

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Numerical analysis (65-XX)

Cites Work

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• Geometric Numerical Integration
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• Statistical analysis of diffusion systems with invariants
• Solving approximately a prediction problem for stochastic jump-diffusion systems
• Stochastic first integrals, kernel functions for integral invariants and the Kolmogorov equations
• Minimizing the variance of estimate of mathematical expectation of a diffusion process functional by parametric transformation of the parabolic boundary value problem

Cited In (1)

• Rosenbrock-type methods for solving stochastic differential equations

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