Mean square numerical solution of stochastic differential equations by fourth order Runge-Kutta method and its application in the electric circuits with noise
DOI10.1186/S13662-015-0398-6zbMATH Open1347.65013OpenAlexW2120045049WikidataQ59425095 ScholiaQ59425095MaRDI QIDQ738526FDOQ738526
Authors: Morteza Khodabin, M. Rostami 
Publication date: 2 September 2016
Published in: Advances in Difference Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13662-015-0398-6
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- Construction of consistent discrete and continuous stochastic models for multiple assets with application to option valuation
Cited In (5)
- Numerical method for SDEs with skew-normal white noise and its application in electrical circuits simulation
- Numerical solution of stochastic differential equations by second order Runge-Kutta methods
- Improving the approximation of the first- and second-order statistics of the response stochastic process to the random Legendre differential equation
- Solving the random Cauchy one-dimensional advection-diffusion equation: numerical analysis and computing
- Random non-autonomous second order linear differential equations: mean square analytic solutions and their statistical properties
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