Rounding Error in Numerical Solution of Stochastic Differential Equations

DOI10.1081/SAP-120019286zbMath1053.60076MaRDI QIDQ4799709

Armando Arciniega, Edward J. Allen

Publication date: 25 March 2003

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Mathematics Subject Classification ID

Roundoff error (65G50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Shooting Methods for Numerical Solution of Nonlinear Stochastic Boundary-Value Problems

Cites Work

• A class of second-order Runge-Kutta methods for numerical solution of stochastic differential equations
• Expansion of the global error for numerical schemes solving stochastic differential equations
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