Digital simulation of stochastic differential equations and error estimates

DOI10.1016/0041-5553(78)90011-3zbMath0416.60073OpenAlexW2001101129MaRDI QIDQ3206076

N. N. Nikitin, V. D. Razevig

Publication date: 1978

Published in: USSR Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0041-5553(78)90011-3

zbMATH Keywords

stochastic differential equationsMonte Carlo methodsdigital simulation of stochastic differential equations

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Combinatorial probability (60C05) Software, source code, etc. for problems pertaining to probability theory (60-04)

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