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Publication:3345665
zbMath0552.65017MaRDI QIDQ3345665
G. N. Mil'shtejn, S. A. Gladyshev
Publication date: 1984
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Runge-Kutta methodstochastic system of differential equationsWiener integralsfunctionals of exponential type
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Approximate quadratures (41A55) Numerical quadrature and cubature formulas (65D32) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Probabilistic methods, stochastic differential equations (65C99)
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Unbiased Monte Carlo evaluation of certain functional integrals ⋮ Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations ⋮ Convergence rate of Euler scheme for stochastic differential equations: Functionals of solutions
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