An analytical-numerical method for fast evaluation of probability densities for transient solutions of nonlinear Itô's stochastic differential equations

DOI10.1016/j.ijengsci.2008.08.001zbMath1213.60103MaRDI QIDQ541096

Yong-Cai Geng, Sumit K. Garg

Publication date: 4 June 2011

Published in: International Journal of Engineering Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ijengsci.2008.08.001

zbMATH Keywords

analytical-numerical method; transition probability density; Itô's stochastic differential equation; damping matrix; motion of ship in stochastic sea; stochastic rolling of ship

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations