Automated first and second order moment equations for a set of stochastic differential equations of type \({\mathbf A}\dot{\mathbf Z} + {\mathbf {BZ}} = {\mathbf C}(t)\)

DOI10.1007/BF01585603zbMath0842.60058OpenAlexW2039164361MaRDI QIDQ1904837

T. E. Unny, W. F. Curi

Publication date: 1 August 1996

Published in: Stochastic Hydrology and Hydraulics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01585603

zbMATH Keywords

numerical integrationmoment equationsstate spaceGaussian white noises

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (1)

A stochastic physical system approach to modeling river water quality

Cites Work

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• The Fokker-Planck equation. Methods of solution and applications
• A survey of numerical methods for stochastic differential equations
• Handbook of stochastic methods for physics, chemistry and the natural sciences
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Random differential equations as models of ecosystems: Monte Carlo simulation approach
• Stochastic processes and filtering theory

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