Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
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Publication:3813265
DOI10.1051/m2an/1986200101411zbMath0662.65129OpenAlexW2584138751MaRDI QIDQ3813265
Publication date: 1986
Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/193467
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)
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