Quantized state system methods for stochastic differential equations

DOI10.1007/S40314-025-03485-4MaRDI QIDQ6867022zbMATH OpenFDO

Authors Noelia Pizzi, Mariana Bergonzi, Joaquín L. Fernández, Damián Edgardo Marelli, Ernesto Kofman

Publication date 28 January 2026

Published in Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S40314-025-03485-4

zbMATH Keywords

numerical integrationstochastic differential equationsquantized state system methods

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Cites work

• A discontinuous Galerkin method for systems of stochastic differential equations with applications to population biology, finance, and physics
• A systematic method to obtain ultimate bounds for perturbed systems
• Adaptive step size numerical integration for stochastic differential equations with discontinuous drift and diffusion
• An adaptive timestepping algorithm for stochastic differential equations.
• Continuous system simulation
• Explicit stabilized multirate method for stiff stochastic differential equations
• Implementing biological hybrid systems: allowing composition and avoiding stiffness
• Optimal approximation of stochastic differential equations by adaptive step-size control

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