A recursive integration method for approximate solution of stochastic differential equations

DOI10.1080/00207169808804624zbMath1002.60547OpenAlexW2068589072MaRDI QIDQ4375410

Marwan I. Abukhaled, Edward J. Allen

Publication date: 11 November 2002

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207169808804624

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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• A survey of numerical methods for stochastic differential equations
• Petrov-Galerkin finite element solution for the first passage probability and moments of first passage time of the randomly accelerated free particle
• Numerical Solution of First Passage Problems in Random Vibrations
• Expansion of the global error for numerical schemes solving stochastic differential equations

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