Numerical Integration of Stochastic Differential Equations-II

DOI10.1002/j.1538-7305.1981.tb00303.xzbMath0464.65101OpenAlexW4237029102MaRDI QIDQ3915989

Eugene Helfand, H. S. Greenside

Publication date: 1981

Published in: Bell System Technical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/j.1538-7305.1981.tb00303.x

zbMATH Keywords

Runge-Kuttanonlinear stochastic differential equationsGaussian, white noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical methods for initial value problems involving ordinary differential equations (65L05) Probabilistic methods, stochastic differential equations (65C99)

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