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

DOI10.1016/0304-4149(91)90060-PzbMath0731.60051MaRDI QIDQ808100

Bernard Ribémont, Dominique Lépingle

Publication date: 1991

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

zbMATH Keywords

simulationstochastic differential equationsLangevin equationnumerical scheme

Mathematics Subject Classification ID

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

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Cites Work

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• Approximate Integration of Stochastic Differential Equations