The Runge-K0utta method for evaluating the Wiener integrals of exponential type functionals

DOI10.1016/0041-5553(84)90242-8zbMath0576.65015OpenAlexW1978611003MaRDI QIDQ3696370

G. N. Mil'shtejn, S. A. Gladyshev

Publication date: 1984

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(84)90242-8

zbMATH Keywords

Runge-Kutta methodtypestochastic system of differential equationsWiener integralsfunctionals of exponential

Mathematics Subject Classification ID

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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