Digital modelling methods for stochastic differential equations when absorbing boundaries are present (Q1119269)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Digital modelling methods for stochastic differential equations when absorbing boundaries are present |
scientific article; zbMATH DE number 4098432
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Digital modelling methods for stochastic differential equations when absorbing boundaries are present |
scientific article; zbMATH DE number 4098432 |
Statements
Digital modelling methods for stochastic differential equations when absorbing boundaries are present (English)
0 references
1988
0 references
Numerical methods for stochastic differential equations are extended to the case of a bounded region. The case of absorption on a regular portion of the boundary is considered. The convergence of the approximate digitized solution is shown and numerical examples can be found.
0 references
Numerical methods for stochastic differential equations
0 references
