Numerical Analysis of Stochastic Differential Equations with Explosions
DOI10.1081/SAP-200064484zbMath1080.65004OpenAlexW1999567026MaRDI QIDQ5312735
Julio D. Rossi, Mariela Sued, Juan Dávila, Julián Fernández Bonder, Pablo Groisman
Publication date: 25 August 2005
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1081/sap-200064484
numerical examplesstochastic differential equationsinitial value problemsadaptive methodsstepsize controlblow upsEuler-Maruyama methodexplosion time
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)
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