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

DOI10.1016/0304-4149(91)90060-PzbMATH Open0731.60051MaRDI QIDQ808100FDOQ808100

Authors: Bernard Ribémont, Dominique Lépingle 

Publication date: 1991

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

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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)

Cites Work

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• Discretization and simulation of stochastic differential equations
• Numerical Treatment of Stochastic Differential Equations
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• Approximate Integration of Stochastic Differential Equations
• Continuous Markov processes and stochastic equations
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• Resolution trajectorielle et analyse numerique des equations differentielles stochastiques

Cited In (11)

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

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