Un schéma multipas d'approximation de l'équation de Langevin. (A multistep approximation method for the Langevin equation)

DOI10.1016/0304-4149(91)90060-PMaRDI QIDQ808100zbMATHFDO

Authors Bernard Ribémont, Dominique Lépingle

Publication date 1991

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

simulationstochastic differential equationsnumerical schemeLangevin equation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• Ito's theorem and stochastic simulation
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Cites work

• scientific article; zbMATH DE number 3784039 (Why is no real title available?)
• scientific article; zbMATH DE number 3457949 (Why is no real title available?)
• scientific article; zbMATH DE number 3628142 (Why is no real title available?)
• scientific article; zbMATH DE number 3265711 (Why is no real title available?)
• Approximate Integration of Stochastic Differential Equations
• Continuous Markov processes and stochastic equations
• Discretization and simulation of stochastic differential equations
• Numerical Treatment of Stochastic Differential Equations
• Resolution trajectorielle et analyse numerique des equations differentielles stochastiques

Cited in

(11)

• Reflected Backward Stochastic Differential Equation with Locally Monotone Coefficient
• On monotonicity and order-preservation for multidimensional \(G\)-diffusion processes
• A fourth-order algorithm for solving the multi-dimensional Kramers equation in Langevin form
• On the linearization of nonlinear Langevin-type stochastic differential equations
• Nonparametric estimation for FBSDEs models with applications in finance
• A CLASS OF TWO-PARAMETER BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A BROWNIAN SHEET
• A stochastic approach to a new type of parabolic variational inequalities
• Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications
• Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
• Infinite Horizon Reflected Backward SDEs with Jumps and RCLL Obstacle
• Langevin methods

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