Numerical Solution of Ito Integral Equations
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Publication:5657637
DOI10.1137/0312011zbMATH Open0245.65063OpenAlexW1991271681MaRDI QIDQ5657637FDOQ5657637
J. D. Borwankar, N. J. Rao, Doraiswami Ramkrishna
Publication date: 1974
Published in: SIAM Journal on Control (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/9bfcc35b9dbb170e5fb28a0b0ccc5057afd85a3b
Cited In (16)
- A second-order Monte Carlo method for the solution of the Ito stochastic differential equation
- Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise
- A variance reduction technique for use with the extrapolated Euler method for numerical solution of stochastic differential equations
- Numerical solution of a class of random boundary value problems
- Preservation of probabilistic laws through Euler methods for ornstein-uhlenbeck process
- The stochastic Rayleigh diffusion model: Statistical inference and computational aspects. applications to modelling of real cases
- Computer simulations of multiplicative stochastic differential equations
- INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS ON A COMPUTER
- Exact solutions and doubly efficient approximations of jump-diffusion itô equations
- Random evolution equations in hydrology
- Random evolution equations in hydrology
- A new Gompertz-type diffusion process with application to random growth
- Probabilistic solutions of a nonlinear plate excited by Gaussian white noise fully correlated in space
- Discretization of the Wiener-process in difference-methods for stochastic differential equations
- Numerical procedures for sample structures on stochastic differential equations
- APPROXIMATING THE NONHOMOGENEOUS LOGNORMAL DIFFUSION PROCESS VIA POLYNOMIAL EXOGENOUS FACTORS
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