scientific article; zbMATH DE number 5257362

zbMATH Open1140.65013MaRDI QIDQ5453897FDOQ5453897

Authors: Omid Solaymani Fard 

Publication date: 3 April 2008

Title of this publication is not available (Why is that?)

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zbMATH Keywords

linearizationnonlinear stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Cited In (8)

• A novel approach to construct numerical methods for stochastic differential equations
• Fundamental theory of nonlinear Itô stochastic differential equations under the local Lipschitz condition
• The linear Steklov method for SDEs with non-globally Lipschitz coefficients: strong convergence and simulation
• Stochastic partial functional differential equations with locally monotone coefficients, locally Lipschitz non-linearity and delay
• Method for simulating non-linear stochastic differential equations in ℝ¹
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• Convergence of the weighted format for non-linearity stochastic differential equation
• A semigroup approach to generalized Black-Scholes type equations in incomplete markets

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