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

DOI10.15372/SJNM20190301MaRDI QIDQ5043022zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 51175 (Why is no real title available?)
• scientific article; zbMATH DE number 1197453 (Why is no real title available?)
• scientific article; zbMATH DE number 939851 (Why is no real title available?)
• scientific article; zbMATH DE number 2114382 (Why is no real title available?)
• Geometric Numerical Integration
• Minimizing the variance of estimate of mathematical expectation of a diffusion process functional by parametric transformation of the parabolic boundary value problem
• Solving approximately a prediction problem for stochastic jump-diffusion systems
• Statistical analysis of diffusion systems with invariants
• Stochastic first integrals, kernel functions for integral invariants and the Kolmogorov equations

Cited in

(1)

• Rosenbrock-type methods for solving stochastic differential equations

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