The digital simulation of stochastic differential equations

DOI10.1109/TAC.1974.1100468MaRDI QIDQ4765820zbMATH OpenFDO

Authors

Publication date 1974

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TAC.1974.1100468

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to probability theory (60-04) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cited in

(9)

• Stochastic model of leukocyte chemosensory movement
• A numerical model for durotaxis
• Numerical procedures for sample structures on stochastic differential equations
• Simulation of multivariable non-linear stochastic systems
• Digital simulation of Poisson stochastic differential equations
• An adaptive algorithm for optimal non-linear estimation in stochastic systems
• Issues in nonlinear stochastic grey box identification
• Discretization of the Wiener-process in difference-methods for stochastic differential equations
• A survey of numerical methods for stochastic differential equations

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