Random Generation of Stochastic Area Integrals

DOI10.1137/S0036139992235706zbMath0805.60052MaRDI QIDQ4310870

Publication date: 2 February 1995

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

stochastic differential equations order of convergence numerical approximations method of random generation of the integrals numerical scheme for simulation of strong solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03) Random number generation in numerical analysis (65C10)

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