Numerical preservation issues in stochastic dynamical systems by \(\vartheta\)-methods
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Publication:2136218
DOI10.3934/JCD.2021023zbMath1492.65020OpenAlexW4205684708MaRDI QIDQ2136218
Stefano Di Giovacchino, Raffaele D'Ambrosio
Publication date: 10 May 2022
Published in: Journal of Computational Dynamics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jcd.2021023
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 (4)
Preface. Special issue on structural dynamical systems ⋮ A long term analysis of stochastic theta methods for mean reverting linear process with jumps ⋮ Random periodic solutions of SDEs: existence, uniqueness and numerical issues ⋮ Numerical conservation issues for jump Pearson diffusions
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