Numerical methods for Stochastic differential equations: two examples

DOI10.1051/proc/201864065OpenAlexW2901967186WikidataQ128914692 ScholiaQ128914692MaRDI QIDQ4615502

Paul-Eric Chaudru De Raynal, Gilles Pagès, Clément Rey

Publication date: 29 January 2019

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/proc/201864065

zbMATH Keywords

stochastic differential equationsSkorokhod problemnumerical probabilityinvariant distributionergodic Feller process

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

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