Calculation optimization in the solution of diffusion problems

DOI10.1515/RNAM-2001-0604zbMath1005.65013OpenAlexW2313568902MaRDI QIDQ4331070

Mikhail A. Marchenko

Publication date: 4 February 2003

Published in: Russian Journal of Numerical Analysis and Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rnam-2001-0604

zbMATH Keywords

stochastic differential equationimportance samplingnumerical examplesdiffusion processEuler methodtrajectorysplitting methodautonomous system

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

This page was built for publication: Calculation optimization in the solution of diffusion problems