Numerical procedures for sample structures on stochastic differential equations

DOI10.1063/1.528647zbMath0716.65136OpenAlexW2055201205MaRDI QIDQ3204017

Hiroshi Nakazawa

Publication date: 1990

Published in: Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1063/1.528647

zbMATH Keywords

algorithmscomparisonstochastic differential equationsNumerical results

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

• A survey of numerical methods for stochastic differential equations
• Numerical integration of stochastic differential equations.
• The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
• Continuous Markov processes and stochastic equations
• Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations
• A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
• Numerical Integration of Stochastic Differential Equations
• Numerical Integration of Stochastic Differential Equations-II
• Numerical Treatment of Stochastic Differential Equations
• Approximate Integration of Stochastic Differential Equations
• The numerical solution of stochastic differential equations
• The digital simulation of stochastic differential equations
• Numerical Solution of Ito Integral Equations
• Generalized Cumulant Expansion Method
• The Homogeneous Chaos

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