A survey of numerical methods for stochastic differential equations

DOI10.1007/BF01543857zbMath0701.60054MaRDI QIDQ914251

Peter E. Kloeden, Eckhard Platen

Publication date: 1989

Published in: Stochastic Hydrology and Hydraulics (Search for Journal in Brave)

zbMATH Keywords

convergence criteriaorder of convergenceRunge- Kutta methodssurvey on research paperstruncated Taylor approximation methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Probabilistic methods, stochastic differential equations (65C99)

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