Algorithms for integration of stochastic differential equations using parallel optimized sampling in the Stratonovich calculus

DOI10.1016/J.CPC.2016.10.002zbMath1378.65034OpenAlexW2536951135MaRDI QIDQ1687075

Simon Kiesewetter, Peter D. Drummond

Publication date: 19 December 2017

Published in: Computer Physics Communications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cpc.2016.10.002

zbMATH Keywords

stochastic differential equationStratonovich calculusvariance reduction methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Fokker-Planck equations (35Q84)

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