Formulae for Mixed Moments of Wiener Processes and a Stochastic Area Integral
DOI10.1137/22m152013xzbMath1515.60199arXiv2303.11659OpenAlexW4383955670MaRDI QIDQ6171371
Kevin Burrage, Yoshio Komori, Guoguo Yang
Publication date: 18 July 2023
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2303.11659
stochastic differential equationnumerical methodstability analysisstochastic integralhigh order moment
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30)
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