A family of Chaplygin-type solvers for Itô stochastic differential equations
From MaRDI portal
Publication:2007682
DOI10.1016/j.amc.2018.08.038zbMath1428.60079OpenAlexW2889740691MaRDI QIDQ2007682
Publication date: 22 November 2019
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2018.08.038
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A survey of numerical methods for stochastic differential equations
- Multiple stochastic integrals with Mathematica
- A note on Newton's method for stochastic differential equations and its error estimate
- Chaplygin's method if Newton's method
- A new approach to the discretization of Chaplygin's method
- Construction of some accelerated methods for solving scalar stochastic differential equations
- An efficient two-parametric family with memory for nonlinear equations
- Widening basins of attraction of optimal iterative methods
- Some derivative-free solvers for numerical solution of SODEs
- An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
- Newton–Milstein scheme for stochastic differential equations and its fast uniform convergence
- Modeling with Itô Stochastic Differential Equations
- Approximation de newton pour les équations différentielles stochastiques
- A note on Newton's method for system of stochastic differential equations
- Stochastic integral
- Stability of weak numerical schemes for stochastic differential equations
This page was built for publication: A family of Chaplygin-type solvers for Itô stochastic differential equations
