scientific article
From MaRDI portal
Publication:3048009
zbMath0413.60056MaRDI QIDQ3048009
Eckhard Platen, Wolfgang Wagner
Publication date: 1978
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wiener processdiscrete time approximations for the solution of Ito equationsnumerical treatment of stochastic differential equations
Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic approximation (62L20) Stochastic integral equations (60H20)
Related Items (21)
On the global error of Itô--Taylor schemes for strong approximation of scalar stochastic differential equations ⋮ Simulation studies on time discrete diffusion approximations ⋮ Relations between multiple ito and stratonovich integrals ⋮ Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods ⋮ The approximation of multiple stochastic integrals ⋮ Nonlinear stochastic wave equations in 1D with fractional Laplacian, power-law nonlinearity and additive \(Q\)-regular noise ⋮ A survey of numerical methods for stochastic differential equations ⋮ Numerical methods for simulation of stochastic differential equations ⋮ Option Pricing Under Incompleteness and Stochastic Volatility ⋮ A higher-order accurate fluid-particle algorithm for polymer flows ⋮ Higher-order implicit strong numerical schemes for stochastic differential equations ⋮ Linear vs standard information for scalar stochastic differential equations ⋮ Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations ⋮ Optimal pointwise approximation of SDEs based on Brownian motion at discrete points ⋮ Remarks on Taylor Series Expansions and Conditional Expectations for Stratonovich SDEs with Complete V‐Commutativity ⋮ A novel stochastic locally transversal linearization (LTL) technique for engineering dynamical systems: strong solutions ⋮ Effects of distributed delays on the stability of structures under seismic excitation and multiplicative noise. ⋮ High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations ⋮ Optimal approximation of stochastic differential equations by adaptive step-size control ⋮ Geometric Euler--Maruyama Schemes for Stochastic Differential Equations in SO(n) and SE(n) ⋮ General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
This page was built for publication:
