Numerical integration of stochastic differential equations with variable diffusivity
DOI10.1088/0305-4470/19/18/032zbMath0614.65148OpenAlexW2019878466MaRDI QIDQ4721620
R. R. Horgan, A. Hoch, I. T. Drummond
Publication date: 1986
Published in: Journal of Physics A: Mathematical and General (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/0305-4470/19/18/032
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Probabilistic methods, stochastic differential equations (65C99)
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