On a deterministic approach to the numerical solution of the SDE
DOI10.1016/S0378-4754(00)00263-9zbMath0983.65009MaRDI QIDQ5938379
Publication date: 3 April 2002
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Wiener processCauchy polygonal methodpseudorandom functionsstochastic Runge Kutta schemeStratonovich stochastic differential equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (2)
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