Numerical Solution to Hybrid Stochastic Differential Systems
DOI10.1080/07362990701857293zbMath1143.65007MaRDI QIDQ5459761
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Publication date: 29 April 2008
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990701857293
numerical example; uniform convergence; stochastic differential equations; numerical stability; Itô-type equations
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65L20: Stability and convergence of numerical methods for ordinary differential equations
34F05: Ordinary differential equations and systems with randomness
65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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