Monte Carlo-type simulation for solving stochastic ordinary differential equations

DOI10.1016/0378-4754(87)90134-0zbMath0597.65068OpenAlexW1980503817MaRDI QIDQ1079347

Renato Spigler

Publication date: 1987

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-4754(87)90134-0

zbMATH Keywords

stochastic processesMonte Carlo methodparallel implementationrandom numbersstochastic ordinary differential equations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Random number generation in numerical analysis (65C10) Numerical solution of boundary value problems involving ordinary differential equations (65L10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

Acceleration of uncertainty propagation through Lagrange multipliers in partitioned stochastic method ⋮ An efficient computational method for statistical moments of Burger's equation with random initial conditions

Cites Work

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• Numerical treatment of a boundary-value problem for a certain singular parabolic partial differential equation
• On the numerical solution of a nonlinear stochastic Helmholtz equation with a multigrid preconditioner
• Nonlinear parametric oscillations in certain stochastic systems: A random van der Pol oscillator
• Invariant imbedding method for wave problems
• A Stochastic Model for Nonlinear Oscillations of Duffing Type
• A stochastic model for lower hybrid wave scattering by density fluctuations
• Mean power reflection from a one-dimensional nonlinear random medium
• Numerical Treatment of Stochastic Differential Equations

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