Resolution of differential equations by the shift method

DOI10.1016/0378-4754(93)E0070-LzbMath0824.60060OpenAlexW2085026416MaRDI QIDQ1897660

Mohamed Ben Alaya

Publication date: 31 October 1995

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

Full work available at URL: https://doi.org/10.1016/0378-4754(93)e0070-l

zbMATH Keywords

rate of convergenceMonte Carlo methodlaw of the iterated logarithmcentral limit theoremnumerical resolution of elliptic equationspointwise Birkhoff theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• Unnamed Item
• On effective computation of expectations in large or infinite dimension
• On numerical integration by the shift and application to Wiener space
• Subadditive mean ergodic theorems
• On the simulation of expectations of random variables depending on a stopping time