Simulation of stochastic differential equations

DOI10.1007/BF00773344zbMath0807.65147MaRDI QIDQ1335342

Yoshihiro Saito, Taketomo Mitsui

Publication date: 4 October 1994

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

error estimatesnumerical experimentsinitial value problemsItô stochastic differential equations

Mathematics Subject Classification ID

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) Error bounds for numerical methods for ordinary differential equations (65L70) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

• Discretization and simulation of stochastic differential equations
• Discretization of the Wiener-process in difference-methods for stochastic differential equations
• A survey of numerical methods for stochastic differential equations
• The rate of convergence for approximate solutions of stochastic differential equations
• Simulation studies on time discrete diffusion approximations
• Continuous Markov processes and stochastic equations
• Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations
• Numerical Treatment of Stochastic Differential Equations
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