Efficient numerical solution of stochastic differential equations using exponential timestepping

DOI10.1023/A:1018711024740zbMath0969.65004MaRDI QIDQ5927966

G. D. Lythe, Kalvis M. Jansons

Publication date: 19 March 2001

Published in: Journal of Statistical Physics (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationsdiffusions with boundariesdiscrete time approximation methodrandom stepsize

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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