Algorithmic solution of stochastic differential equations

DOI10.3390/a3030216zbMath1461.65008OpenAlexW1985321567MaRDI QIDQ1662550

Henri Schurz

Publication date: 20 August 2018

Published in: Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/a3030216

zbMATH Keywords

stochastic differential equationsstrong solutionPDE-based algorithm

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Stochastic differential equations. An introduction with applications
• On a Formula Concerning Stochastic Differentials
• Stochastic integral
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