Numerical simulation for certain stochastic ordinary differential equations

DOI10.1016/0021-9991(88)90079-4zbMath0602.65055OpenAlexW2044112168MaRDI QIDQ1082047

Renato Spigler

Publication date: 1988

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0021-9991(88)90079-4

zbMATH Keywords

Monte Carlo methodsnumerical simulation of stochastic equations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear ordinary differential equations and systems (34A34) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Numerical solution of boundary value problems involving ordinary differential equations (65L10) Linear boundary value problems for ordinary differential equations (34B05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

Monte Carlo-type simulation for solving stochastic ordinary differential equations ⋮ Random perturbations effects on the stability of tension leg platforms in offshore engineering and of other large structures

Cites Work

• Invariant imbedding method for wave problems
• Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
• Wave Propagation in a One-Dimensional Random Medium
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