Algorithmic solution of stochastic differential equations (Q1662550)
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scientific article; zbMATH DE number 6920521
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Algorithmic solution of stochastic differential equations |
scientific article; zbMATH DE number 6920521 |
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Algorithmic solution of stochastic differential equations (English)
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20 August 2018
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Summary: This brief note presents an algorithm to solve ordinary stochastic differential equations (SDEs). The algorithm is based on the joint solution of a system of two partial differential equations and provides strong solutions for finite-dimensional systems of SDEs driven by standard Wiener processes and with adapted initial data. Several examples illustrate its use.
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stochastic differential equations
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strong solution
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PDE-based algorithm
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