SDE-MATH

swMATH37665MaRDI QIDQ53366FDOQ53366

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Described by source

• SDE-MATH: a software package for the implementation of strong high-order numerical methods for Ito SDEs with multidimensional non-commutative noise based on multiple Fourier-Legendre series

Cited In (5)

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• Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
• Title not available (Why is that?)
• Comparative analysis of particle filters for stochastic systems with continuous and discrete time

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