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A second-order Monte Carlo method for the solution of the Ito stochastic differential equation - MaRDI portal

A second-order Monte Carlo method for the solution of the Ito stochastic differential equation (Q3738494)

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A second-order Monte Carlo method for the solution of the Ito stochastic differential equation
scientific article

    Statements

    title
    A second-order Monte Carlo method for the solution of the Ito stochastic differential equation (English)
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    author
    Daniel C. Haworth
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    Stephen B. Pope
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    publication date
    1986
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    zbMATH Keywords
    vector Ito stochastic differential equation
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    Taylor series expansion
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    difference equation
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    Monte Carlo simulation
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    numerical results
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    convergence
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    homogeneous Langevin equation
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    cites work
    Q5566869
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    Q3935355
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    Q5585822
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    Identifiers

    Mathematics Subject Classification ID
    65L05
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    65C05
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    60H10
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    65C99
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    35F05
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    zbMATH DE Number
    3972105
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    Wikidata QID
    Q115297078
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    OpenAlex ID
    W2020641707
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