Digital simulation of evolutionary stochastic differential equations

DOI10.1016/0041-5553(90)90056-XzbMath0739.65118OpenAlexW2019465479MaRDI QIDQ4713227

Yu. G. Bulychev, S. A. Pogonyshev

Publication date: 25 June 1992

Published in: USSR Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0041-5553(90)90056-x

zbMATH Keywords

numerical exampleerror estimatesWiener processesdifference equationsRunge-Kutta methodEuler methodrandom parabolic equationstochastic evolution equationdigital simulationEuler- Cauchy method

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Probabilistic methods, stochastic differential equations (65C99)

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