Numerical solution of stochastic differential equations with random structure on supercomputers

DOI10.1134/S1995423913040010zbMath1299.65007MaRDI QIDQ5407768

M. A. Yakunin, S. S. Artem'ev, V.Korneev

Publication date: 7 April 2014

Published in: Numerical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationnumerical experimentsparallelizationsupercomputerstatistical modelinggeneralized Euler method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Parallel numerical computation (65Y05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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