scientific article; zbMATH DE number 6892750

zbMath1393.58021MaRDI QIDQ4568478

Elena V. Karachanskaya, Konstantin A. Rybakov, Tatiana A. Averina

Publication date: 21 June 2018

Full work available at URL: http://www.math.spbu.ru/diffjournal/EN/numbers/2018.1/article.1.3.html

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zbMATH Keywords

stochastic differential equationnumerical methodinvariantstochastic systemrandom processfirst integral

Mathematics Subject Classification ID

Diffusion processes and stochastic analysis on manifolds (58J65) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical methods for partial differential equations, boundary value problems (65N99)

Cites Work

• Construction of programmed controls for a dynamic system based on the set of its first integrals
• Continuous Markov processes and stochastic equations
• Numerical methods for strong solutions of stochastic differential equations: an overview
• Digital simulation of stochastic differential equations and error estimates
• Approximate Integration of Stochastic Differential Equations
• The numerical solution of stochastic differential equations
• Predictor-Corrector Methods of Runge--Kutta Type for Stochastic Differential Equations
• Comparison of a statistical simulation method and a spectral method for analysis of stochastic multistructure systems with distributed transitions
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