An improved algorithm for the estimation of the mean first passage time of ordinary stochastic differential equations

DOI10.1016/0010-4655(93)90095-TzbMath0854.65126OpenAlexW2086089975MaRDI QIDQ1923719

M. Seeßelberg, Francesco Petruccione

Publication date: 10 October 1996

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

Full work available at URL: https://doi.org/10.1016/0010-4655(93)90095-t

zbMATH Keywords

algorithmstochastic differential equationmean first passage timeGaussian distributed random numbers

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) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

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• A review on stochastic differential equations for applications in hydrology
• Numerical integration of stochastic differential equations.
• Handbook of stochastic methods for physics, chemistry and natural sciences.

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