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 criteria; order of convergence; Runge- Kutta methods; survey on research papers; truncated Taylor approximation methods

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65-02: Research exposition (monographs, survey articles) pertaining to numerical analysis

65C99: Probabilistic methods, stochastic differential equations

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